Recently, solid lipid nanoparticles (SLNs) have attracted increasing attention owing to their potential as an oral delivery system, promoting intestinal absorption in the lymphatic circulation which plays a role in disseminating metastatic cancer cells and infectious agents throughout the body. SLN features can be exploited for the oral delivery of theranostics. Therefore, the aim of this work was to design and characterise self-assembled lipid nanoparticles (SALNs) to encapsulate and stabilise iron oxide nanoparticles non-covalently coated with heparin (Fe@hepa) as a model of a theranostic tool. SALNs were characterised for physico-chemical properties (particle size, surface charge, encapsulation efficiency, in vitro stability, and heparin leakage), as well as in vitro cytotoxicity by methyl thiazole tetrazolium (MTT) assay and cell internalisation in CaCo-2, a cell line model used as an indirect indication of intestinal lymphatic absorption. SALNs of about 180 nm, which are stable in suspension and have a high encapsulation efficiency (>90%) were obtained. SALNs were able to stabilise the heparin coating of Fe@hepa, which are typically unstable in physiological environments. Moreover, SALNs–Fe@hepa showed no cytotoxicity, although their ability to be internalised into CaCo-2 cells was highlighted by confocal microscopy analysis. Therefore, the results indicated that SALNs can be considered as a promising tool to orally deliver theranostic Fe@hepa into the lymphatic circulation, although further in vivo studies are needed to comprehend further potential applications.