Few systematic studies were performed into the properties of arabinoxylan (AX) and protein composite particles, and their mechanisms of action in an emulsion remain largely unknown. In this study, composite particles based on different concentrations of AX and whey protein isolate (WPI) were constructed, and a systematic characterization was conducted to determine their functional properties. A good compatibility was found between WPI and AX, and the composites exhibited an enhanced thermal stability and consistent particle sizes. Molecular interactions, including hydrogen bonds, were detected between WPI and AX, and the composite particles containing 4% AX exhibited the lowest interfacial tension and the strongest emulsification ability. AX promoted protein adsorption on the oil phase surface, and the desorption energy of the composite particles at the oil/water interface increased accordingly. The stability of an emulsion stabilized by AX–WPI was confirmed by rheological and microstructural investigations. This study therefore provides theoretical support for the application of such emulsions.