High cholesterol levels in mayonnaise pose a potential health threat to consumers, and there is an urgent need to develop cholesterol-reduced mayonnaise to meet consumer demand. Therefore, the aim of this study was to prepare a cholesterol-reduced Pickering emulsion mayonnaise (PEM) by replacing egg yolk with xanthan gum/lysozyme nanoparticles (XG/Ly NPs) and konjac glucomannan (KGM). In addition, the decorated appearance, droplet size, centrifugal stability, microstructure, and rheological properties of PEM were determined at different temperature fields (ambient, pasteurized, and refrigerated). The results showed that KGM provided additional network structure for PEM when the yolk substitution rate was no more than 40%, limiting oil droplet aggregation, as evidenced by the enhanced centrifugal stability and significantly reduced droplet size (P < 0.05). Moreover, the PEM supplemented with 0.2% KGM at 40% yolk substitution showed good viscoelasticity and small particle size (12.4 ± 0.7 μm) after pasteurization (65 °C for 30 min) and 30 days of refrigeration. Overall, XG/Ly NPs and KGM can be used as potential egg yolk substitutes and provide a new theoretical reference for the food industry to develop highly stable cholesterol-reduced mayonnaise.