In this study, the effect of in vitro simulated gastrointestinal digestion on the α-glucosidase inhibitory activity of SGTLLHK, an α-glucosidase inhibitory peptide from soft-shelled turtle egg. The digestion properties and products of SGTLLHK were analyzed by ultra-high performance liquid chromatography-quadrupole time-of-flight tandem mass spectrometry (UHPLC-QTOF-MS/MS). Bovine milk exosomes and solid lipid nanoparticles (SLN) were then prepared to encapsulate SGTLLHK, and the particle characteristics (microstructure, zeta potential, particle size, polymer dispersity index (PDI)) were investigated. The encapsulation efficiency and the stability of encapsulated SGTLLHK in a simulated gastrointestinal environment were determined by high performance liquid chromatography (HPLC). Results revealed that SGTLLHK was completely hydrolyzed after gastric digestion, and two peptides (SGTLL and GTLL) were identified from the digested products. After further intestinal digestion, GTLL was completely degraded, while SGTLL was still intact. The α-glucosidase inhibitory activity of SGTLLHK was increased significantly after gastric digestion, and markedly decreased after intestinal digestion, reaching a level lower than that of the original peptide. SGTLLHK was successfully encapsulated in the exosomes and SLN. Meanwhile, the exosome encapsulation system showed high stability, having an average particle size of (125.87 ± 2.66) nm and a PDI of 0.17 ± 0.01. After gastrointestinal digestion, the retention rate of SGTLLHK-loaded exosomal particles was 72.52%, while that of SGTLLHK-SLN was 48.43%, indicating that both the exosomes and SLN could protect SGTLLHK against degradation by gastrointestinal digestive enzymes, the former being more effective than the latter.