Calcium-chelating peptides are a type of calcium dietary supplement with significant development potential, offering advantages in structural stability, absorption efficiency, safety, and various other aspects. This study investigated the biological activity and structural characteristics of wheat protein peptide (WPP)–calcium (Ca2+) chelates. The structures of the WPP, ultrasound-treated WPP (UWPP), and UWPP-Ca were analyzed using scanning electron microscopy. Ultraviolet spectroscopy and Fourier transform infrared spectroscopy revealed that oxygen and nitrogen atoms were the chelation sites. Quadrupole time-of-flight mass spectrometry revealed that Ca ions chelated with UWPP, and the chelation sites were identified as follows: Ca ions bound to amino acids D (Asp), K (Lys), R (Arg), W (Trp), E (Glu), H (His), Q (Gln), and N (Asn) and H (His) in the peptides. Notably, among the WPP, UWPP and UWPP-Ca, UWPP-Ca exhibited the strongest reducing power. Furthermore, UWPP-Ca exhibited excellent pH stability and gastrointestinal digestibility. Under the influence of phytic acid and oxalic acid, the solubility and permeability of the UWPP-Ca were greater than those of the other calcium supplements, which is attributed to its stable structure. This study provides essential theoretical confirmation for the application of Ca–peptide chelates as functional foods.