Atherosclerosis, a noncommunicable disease caused by cholesterol plaque, can cause chronic diseases. The antiplatelet medicines used in its treatment can cause complications. Marine collagen peptides can be used as a natural atherosclerosis remedy. The present study investigated the preparation and characterization of hydrolyzed collagen (HC) from jellyfish and its conjugation with black jelly mushroom extract (BJME). Their cytotoxicity and ability to prevent cholesterol-induced endothelial cell injury were also examined. HC was prepared using Alcalase or papain hydrolysis (0.2–0.4 units/g of dry matter (DM)). Higher yield, degree of hydrolysis, and antioxidant activities (AAs) were found in the HC obtained from Alcalase, especially at 0.4 units/g DM (A-0.4), compared to other processes (p < 0.05). Thus, A-0.4 was further conjugated with BJME (1–4%, w/w of HC). The HC-2%BJME conjugate showed the highest surface hydrophobicity and AAs compared to other samples. The FTIR spectra and size distribution also confirmed the conjugation between HC and BJME. When EA.hy926 endothelial cells were treated with HC or HC-2%BJME (25–1000 µg/mL), HC-2%BJME had no cytotoxicity, whereas HC at 1000 µg/mL induced cytotoxicity (p < 0.05). Both samples also exhibited protective ability against cholesterol-induced apoptosis and VE-cadherin downregulation of cells. Therefore, HC and conjugate could be natural agents for preventing atherosclerosis.