Phycocyanin (PC) is an algae-derived blue protein that can serve as an antioxidant colorant and emulsifier. Urea was used as an emulsification aid by balancing PC's hydrophilic-lipophilic character and was removed by dialysis after emulsification processes. With increasing concentration, urea gradually dissociated and denatured the PC polymers. By using spectroscopic methods, the aromatic amino acids and chromophores appeared to fold inward, and the secondary helix structure devolved into the unordered structure. Structural changes caused the hydrophilic PC to become more hydrophobic, resulting in an increase of its emulsifying capacity with a concomitant cost to PC's natural blue color. The partially denatured PC increased the amount of PC surface adsorption at the O/W interface by 39.89% of adsorbing percentage and the O/W interfacial protein concentration was 1.56 mg m−2, resulting in finer and more dispersed emulsion droplets. Therefore, although the denaturation resulted in a partial weakening of the protein's antioxidant properties (from 7.70 to 5.54 nmol L−1 Trolox equivalent), the stabilized droplets allowed the emulsions to exhibit higher apparent antioxidant properties (from 7.80 to 7.87 nmol L−1 Trolox equivalent). In the 37 °C storage stability evaluation, emulsions with lower starting urea concentrations remained blue longer, while those with higher starting urea concentrations remained more stable to long-term storage and showed lower oxidation levels. The urea concentration of 5 M was chosen because it maintained a relatively stronger blue color while keeping the emulsion more stable and protecting the oils from further oxidation.