For example, silk is made of fibroin. But what's wool made of?
Unlike silk or cotton, wool does not have a homogeneous structure. Its core is considered to be made of keratin, a generic type of protein found in human hair and epidermis. A detailed PDF on Merino wool can be downloaded from here.
Thanks for encouraging me, through your question, to read that PDF, which explains both the chemical and physical properties in a straight-forward fashion.