Strictly speaking a protectorate is a territory whose external relations are conducted by another country while it retains a greater or lesser degree of internal self-government. So it's not technically a colony (though sometimes it may effectively be administered as such), and merely enjoying the protection of another country via a security guarantee doesn't make you a protectorate - so Belgium wasn't one as it conducted its own independent foreign policy though it had international protection under the 1839 Treaty.

In practice the extent of self-government could vary widely, from retaining a titular sovereign and national government with broad legislative power to having policy largely decided by the paramount or suzerain power with self-government exercised only at the local level. A Tunisia or Morocco lay formally in the first category, but with national policy curtailed by powerful officials representing the metropolitan government and with effective powers of veto. Such administrator-diplomats might in different jurisdictions be labelled the resident, minister or high commissioner, or more directly-governed territories (or protectorates associated for imperial administrative purposes with outright colonies) would come under a governor (or governor-general) or viceroy.

British-ruled Sierra Leone and Gambia offer interesting examples of areas combining both a colony (essentially the capital city) and a hinterland protectorate where traditional local rulers retained administrative functions subject to the advice of district commissioners under the colonial governor (who was in turn answerable to the Colonial Office in London, but with extensive freedom in managing the whole). The 1906 Gambia Handbook provides a useful breakdown of the system: as can be seen, here there really wasn't much power left to local chiefs should they fall into official disfavour.