In recent years, several studies have focused their attention on the preparation of sustainable biocompatible and biodegradable films of potential interest in wound healing and wound dressing applications. In this regard, natural macromolecules—such as proteins—represent an attractive alternative to synthetic polymers thanks to their numerous advantages, such as biocompatibility, biodegradability, and low immunogenicity. Among the most interesting proteins, keratin extracted from waste wool and fibroin extracted from Bombyx mori cocoons, possess all of the abovementioned features required for biomedical applications. In the present review, we therefore aim to give an overview of the keratin and fibroin based films designed for wound healing and wound dressing applications and devices.