Lupus nephritis (LN) is a major complication of systemic lupus erythematosus (SLE). Conventional biomarkers for assessing renal disease activity are imperfect in predicting clinical outcomes associated with LN. The aim of this study is to identify urinary protein biomarkers that reliably reflect the disease activity or predict clinical outcomes. A quantitative proteomic analysis was performed to identify protein biomarker candidates that can differentiate between SLE patients with and without LN. Selected biomarker candidates were further verified by enzyme-linked immunosorbent assay using urine samples from a larger cohort of SLE patients ( n = 121) to investigate their predictive values for LN activity measure. Furthermore, the association between urinary levels of a selected panel of potential biomarkers and prognosis of LN was assessed with a four-year follow-up study of renal outcomes. Urinary vitamin D-binding protein (VDBP), transthyretin (TTR), retinol binding protein 4 (RBP4), and prostaglandin D synthase (PTGDS) were significantly elevated in SLE patients with LN, especially in patients with active LN ( n = 21). Among them, VDBP well correlated with severity of proteinuria (rho = 0.661, p < 0.001) and renal SLE Disease Activity Index (renal SLEDAI) (rho = 0.520, p < 0.001). In the four-year follow-up, VDBP was a significant risk factor (hazard ratio 9.627, 95% confidence interval 1.698 to 54.571, p = 0.011) for the development of proteinuric flare in SLE patients without proteinuria ( n = 100) after adjustments for multiple confounders. Urinary VDBP correlated with proteinuria and renal SLEDAI, and predicted the development of proteinuria.