The invention relates to a fusion protein, a production method thereof, and a production method of transgenic rice. The fusion protein is a plant seed endosperm expressed Ex-TF fusion protein. The gene sequence of the fusion protein comprises a plant endosperm specific expression promoter (pGluB-5); a plant endosperm storage protein signal peptide (sp), an exenatide polypeptide (Exendin-4), a connection polypeptide (GGGGS)x3linker that connects Exendin-4 and human iron transport protein (hTF), a human iron transport protein (hTF), a histone label (6xHis) for the purification of proteins, and a transcription terminator (GluB-5-3'-UTR) of a plant gene (GluB-5). By utilizing the GluB-5 promoter, the fusion protein can be massively expressed in the whole endosperm. At the same time, the advantages of paddy rice such as high yield, easy plantation and management, and the like, and the advantages of paddy rice seed such as long shelf life, easy extraction, and the like, are utilized to realize the continuous production of Ex4-TF fusion protein drugs; the waste and shortage are avoided, and the production cost is reduced at the same time.