The aim of this work was to elucidate the influence of both the structural features of milk proteins [whey proteins (WPI) and sodium caseinate (SC)] and the character of their electrostatic associative interactions with chitosan (CHIT) on the structure, thermodynamic parameters and functionality of their complexes with essential lipids. These lipids included soybean phosphatidylcholine liposomes (PC), rich in omega-6 linoleic (LA) polyunsaturated fatty acid (PUFA), and long chain omega-3 PUFAs (eicosapentaenoic and docosahexaenoic acids) from fish oil (FO) to their equal weight ratio with LA. A laser light scattering method was used in static, dynamic and electrophoretic modes to characterise the structure and thermodynamic parameters of the supramolecular complexes in an aqueous medium. The functionality of the supramolecular complexes (WPI−CHIT−PC−FO and SC−CHIT−PC−FO) was considered from the point of view of their solubility in an aqueous medium and protective abilities against oxidation of the essential lipids encapsulated in them.