This study aimed to evaluate the ability of commercial soy protein isolate (SPI) to form cold-set gels under different pHs (5–11), pre-heating temperatures (60 °C, 80 °C), CaCl2 (0–15 mM) and SPI (5–15%, w/v) concentrations, and also select a formulation for the investigation of the effects of incorporating locust bean gum (LBG) (0–0.3%, w/v) and solid lipid microparticles (SLM) on gels rheological and microstructural properties. Gels were evaluated in terms of visual aspect, water-holding capacity, microstructure (using confocal laser scanning microscopy and cryo-scanning electronic microscopy) and rheological properties. SPI showed higher solubilities at pHs 7 (32.0%), 9 (51.6%) and 11 (100%). Self-supported gels were obtained under several conditions at alkaline pHs. At pH 7, only systems pre-heated to 80 °C with 15% (w/v) SPI and 10 or 15 mM CaCl2 gave self-supported gels. At neutral pH, samples showed relative structural instability, which was minimized with LBG incorporation. Formulations GSPI (pH 7, preheated to 80 °C, 15% (w/v) SPI, 10 mM CaCl2) and GMIX (pH 7, preheated to 80 °C, 15% (w/v) SPI, 0.2% (w/v) LBG, 15 mM CaCl2) were selected for emulsion-filled gels (EFG) production. Power law parameters (K′, K″), calculated from frequency sweep results, revealed that non-filled GMIX (K′: 472.1; K″: 77.6) was stronger than GSPI (K′: 170.4; K″: 33.6). Besides, GMIX showed microphase separation. SLM stabilized with Tween 80-Span 80 were active fillers in EFG, altering microstructures and increasing G’, G” and the Young’s modulus (1.8 to 2.1 kPa for GSPI and 1.4 to 2.2 kPa for GMIX).