Edible protein-based oleogels have garnered extensive attention in food formulation, driven by the desire for enhanced nutritional profiles and improved texture perception. This is facilitated by the nutritional value of the starting ingredient proteins, coupled with high consumer acceptance. However, there exists limited knowledge regarding the connection between the microstructural properties of gels and their macroscopic rheological properties, especially concerning their potential as fat replacers in food products. The present study reveals a simple means of modulating the microstructural properties and macroscopic mechanical features of capillary whey protein oleogels, as well as their aesthetic properties. This is achieved by using whey protein variants with diverse morphologies, such as fibers, particles, and fractal clusters, or by varying the water fraction (s) and the protein concentration (φ) in the formula. Rheological scaling properties and confocal laser scanning microscopy (CLSM) were employed to investigate the structural contribution of protein particles within the gel network. Furthermore, the study explores the practical applications of the derived oleogels, particularly in terms of spreadability or shortening as a potential alternative to margarine, within real food matrices. The spreadability of capillary oleogels with a protein concentration (φ) at 0.16 and 0.18 was comparable to that of commercial margarine. Meanwhile, the capillary oleogel-cake exhibited similarity to the margarine cake in textural parameters and sensory acceptability. This suggests that these capillary whey protein oleogels hold promise for applications in bakery products as margarine alternatives with low levels of saturated/trans-fat content.