This study evaluates the effect of pH (pH 3 and 11) and heat treatment (60 °C) in modifying the soybean lipophilic protein (LP) for the development of an encapsulation system to co-deliver resveratrol (Res) and vitamin D3. The structural and functional properties of LP after the modification will change to varying degrees. Meanwhile, Res was loaded into the hydrophobic core of LP, and the resulting Res-loaded structures have a uniform particle size distribution and a high encapsulation efficiency (78%). When the amount of Res encapsulation increases, the emulsification and oxidation resistance of the Pickering emulsion increased; the interfacial tension and interfacial protein adsorption increased to 11.21 mN/m and 97.34%, respectively. During simulated gastrointestinal digestion, the Pickering emulsion prepared with LP-Res nanoparticles at pH 11, 60 °C (pH 11, 60 °C-LP-Res) effectively protected Res and vitamin D3 from degradation or precipitation, indicating a significant increase in bioavailability.