Caffeic acid (CA) and caffeic acid phenethyl ester (CAPE) are bioactive molecules with poor solubility. We investigated the interaction between CA/CAPE and micellar casein (MC), and the physico-chemical and antioxidant properties of the complexes. Fluorescence spectroscopy analysis showed that both CA and CAPE formed complexes with MC via hydrophobic interactions. The binding constant was higher for CAPE than for CA at each temperature. The complexes were confirmed by FTIR and XRD. The secondary structure of MC was not affected by CAPE, but its morphology changed. CA/CAPE did not induce the dissociation of casein micelles. CA and CAPE increased and decreased, respectively, the bulk and tapped densities of MC. The complexes had higher thermal stability and DPPH radical scavenging capacity than free MC or CA/CAPE.