The application of natural polymers in emulsion-filled gels is an effective way to enhance the protective and controlled release properties of bioactive compounds. In this study, wheat bran arabinoxylan–soy protein isolate (WBAX-SPI) emulsion-filled gels were formed by embedding a WBAX emulsion containing 10 mL/100 mL soybean oil in a dispersion of WBAX and SPI polymer followed by gelation. The physicochemical properties of the emulsion-filled gels with different emulsion concentrations (9, 12, 15, 18, and 21 g/100 g) were evaluated. The WBAX-SPI emulsion-filled gels were self-supported gels with high water holding capacities (98 ± 0.5 g/100 g). Texture profile analysis showed that a highly integrated gel network was formed at the emulsion concentration of 15 g/100 g. Rheological measurements showed that the emulsion acted as an active filler in the WBAX-SPI emulsion-filled gels, leading to different rheological properties compared to the WBAX-SPI hydrogels. Confocal laser scanning microscopy observations indicated that the structure of the WBAX-SPI emulsion-filled gels was affected by the emulsion concentration. In vitro simulated digestion demonstrated that the WBAX-SPI emulsion-filled gels had better sustained release performance compared to the WBAX or SPI emulsion-filled gels.