The inherent hydrophobicity, high volatility, instability and pungent flavor of Zanthoxylum schinifolium essential oil (ZSEO) are important issues to restrict its preservation and practical applications. To overcome these drawbacks, the ZSEO-loaded Pickering emulsions stabilized by bacterial cellulose nanofibrils/whey protein isolate (BCNFs/WPI) complexes and fortified with cinnamaldehyde (CA) were fabricated, and their physical property and functionality were characterized. When the concentration of BCNFs/WPI complexes was 0.7 wt%, the emulsions had the smallest and uniform droplet size (<150 nm) and showed good stability over 30 d storage. Moreover, the emulsions with different CA contents (0–1.0 wt%) maintained a long-term stability with no significant droplet size change during 30 d storage. All Pickering emulsions showed a shear-thinning behavior, and their apparent viscosity and viscoelastic moduli gradually increased with the increase of BCNFs/WPI complexes contents. The presence of CA enhanced the physical stability of emulsions against environmental stresses such as acid, heat and salinity. Compared to free ZSEO, the ZSEO-loaded Pickering emulsions fortified with CA not only improved the stability of ZSEO, but also maintained or even enhanced its antioxidant and antimicrobial activity. This study would provide a promising strategy for ZSEO encapsulation and improve its stability and functionality in food applications.