This is true for fundamental particles. However, more than 99% of the protons mass doesn't come from its constituent parts. I couldn't find any papers on this question in the 10 minutes I spent googling (and I don't have my QCD textbook handy), but here's a few links:

* http://physics.stackexchange.com/questions/64232/your-mass-i... * https://en.wikipedia.org/wiki/Proton#Quarks_and_the_mass_of_...