Affinity protein-oligonucleotide conjugates are increasingly being explored as diagnostic and therapeutic tools. Despite growing interest, these probes are typically constructed using outdated, non-selective chemistries, and little has been done to investigate how conjugation to oligonucleotides influences the function of affinity proteins. Herein, we report a novel site-selective conjugation method for furnishing affinity protein-oligonucleotide conjugates in a 93% yield within fifteen minutes. Using SPR, we explore how the choice of affinity protein, conjugation strategy, and DNA length impact target binding and reveal the deleterious effects of non-specific conjugation methods. Furthermore, we show that these adverse effects can be minimised by employing our site-selective conjugation strategy, leading to improved performance in an immuno-PCR assay. Finally, we investigate the interactions between affinity protein-oligonucleotide conjugates and live cells, demonstrating the benefits of site-selective conjugation. This work provides critical insight into the importance of conjugation strategy when constructing affinity protein-oligonucleotide conjugates.