Whey proteins represent 20% of the protein content of milk and are an underutilised by-product of cheese manufacturing. This study was aimed at encapsulating whey proteins in the fat content of cheese using double emulsions. A two-stage power ultrasound (20 kHz) emulsification process was used to produce double emulsions with an internal aqueous phase enriched with high concentrations of whey proteins contained within droplets of sunflower oil. Primary water-in-oil (W1/O) nanoemulsions were successfully formed at an applied ultrasonic power of 1.35 W/mL, using 20% w/w and 30% w/w whey protein concentrate (WPC) solutions in the internal phase. The inner water droplets were stabilised by a combination of food grade lipophilic emulsifiers included in the sunflower oil at minimum concentrations of 1% w/w lecithin and 3% w/w PGPR. The secondary oil emulsions were formed by emulsifying the primary W1/O emulsions in 5% w/w WPC solutions, with the whey proteins serving as the emulsifying agent. The encapsulation loading rate of whey proteins within the double emulsion droplets was investigated in relation to ultrasound parameters and formulation loading rates. A very high encapsulation loading rate of ∼45 gwhey protein/Ldouble emulsion was achieved using 0.81 W/mL of ultrasound, with oil droplets of comparable diameter to native milk fat globules (∼10 μm). These double emulsions were successfully incorporated into renneted and cooked curd systems to enable the retention of whey protein in cheese matrices. This study demonstrates the potential of ultrasound emulsification to form whey protein-enriched double emulsions with minimum food-grade emulsifiers to fortify the protein content of cheese and other food products.