This study developed an affinity-gradient nano-stationary phase (AG-NSP) for protein analysis using nanofluidic capillary electrochromatography (nano-CEC) conjugated with matrix assisted laser desorption ionization (MALDI) time-of-flight (TOF) mass spectrometry (MS). The AG-NSP can be used for protein pre-separation in nano-CEC and as a matrix carrier for protein analysis in MALDI-TOF-MS. A hydrophobicity gradient in AG-NSP was photochemically formed by grafting 4-azidoaniline hydrochloride on vertically arrayed multi-wall carbon nanotubes (MWCNTs) through gray-level exposure to UV light. The reversed-phase gradient stationary phase in AG-NSP was tailored according to the properties of the mobile phase gradient in capillary electrochromatography. As a result, the operation of the system is easily automated using a single buffer solution without the need for multiple solvents for elution. The use of nano-CEC with AG-NSP demonstrated excellent separation efficiency and high resolution for various types of DNA/protein/peptide. MALDI-TOF-MS analysis was then performed directly on the separated proteins and peptides on the chip. The proposed system was then used for the detection of three types of proteins with different molecular weights and PI values, including Cytochrome c (12,360, pI = 10), Lysozyme (14,300, pI = 11), and BSA (86,000, pI = 5)), and digested IgG fragments. The proposed system provided resolution of 1000 Da for the proteins in this study and the separation of digested IgG fragments at a low concentration of 1.2 pmol μL−1.