In this study, a new oleogel system was constructed and used as a fat substitute in the processing of cookies. The preparation process of Amomum villosum Lour. extract (AVE) was optimized based on antioxidant activity and yield firstly. Then, the AVE, ovalbumin, chitosan, and xanthan gum were used as raw materials to prepare a composite Pickering emulsion oleogel. The results showed that when the concentration of AVE, chitosan, and XG were 0.1%, 2.5%, and 0.3%, respectively, a stable and uniformly distributed Pickering emulsion oleogel was formed. In this case, the particle size of the composite oleogel was relatively small; the absolute value of zeta potential was higher; the microstructure was more stable, with less aggregation and flocculation; and the thermal stability and freeze–thaw stability were excellent. In addition, the addition of AVE enhanced the gel properties of the oleogel and had good solid-like properties, and strengthened the binding force, as well as the oxidation stability, making the whole system more stable. In addition, the results of the application of the composite oleogel in the cookies showed that the AVE–ovalbumin/xanthan gum/chitosan Pickering emulsion oleogel had similar sensory and texture properties to the butter group. The addition of AVE can delay the crispness, cohesiveness, hardness, and the rate of malondialdehyde formation in cookies during storage. In conclusion, the AVE–ovalbumin/xanthan gum/chitosan Pickering emulsion oleogel had good physicochemical stability and showed great potential in replacing saturated fat (butter) in baking products (cookies).