Existing LLM-based theorem provers have achieved impressive results on formal mathematics benchmarks, yet they remain confined to acting as autonomous agents that prove a stated proposition. In this paper, we propose MathCoPilot, a human-in-the-loop system that embodies a new human–AI symbiotic paradigm for mathematical research, in which the mathematician steers the high-level mathematical direction while AI agents carry out the detailed formalization and proof work under continuous human guidance. MathCoPilot unifies three core capabilities: (1) an interactive workbench where the mathematician and AI agents collaborate through a living proof blueprint that decomposes a proof into navigable steps the human can directly inspect, direct, and refine; (2) automated proving skill orchestration with adaptive knowledge base search and Lean-integrated iterative verification; and (3) topic-driven paper retrieval and automated formalization into a verified Lean knowledge base. Using MathCoPilot, we systematically compare four state-of-the-art LLMs, including Gemini 3.1 Pro, GPT-5.4, and Claude Opus 4.7, on a FormalMATH subset and on two real PDE theorems requiring deep domain expertise, evaluating their ability to produce verified Lean 4 proofs and to identify errors in deliberately incorrect proofs. Our results show that while current models can handle undergraduate-level problems with high success rates under favorable autoformalization conditions, substantial challenges remain for domain-specific theorems requiring genuine mathematical understanding.