We demonstrate the collective roles of surfactant–triacylglycerol interactions and confined gap shear crystallization on the creation of novel microstructured water-in-oil emulsions containing solid lipid-encapsulated water droplets. The emulsions studied consisted of 20 wt % water dispersed in a mixture of canola oil, a stabilizing fat [hydrogenated canola oil (HCO)] and either glycerol monoleate (GMO) or polyglycerol polyricinoleate (PGPR) as surfactants. Following valve homogenization, emulsions were cooled from 70 to 25 °C either in a stirred beaker (bulk-cooling) or on a rheometer stage (confined gap shear-cooling). Irrespective of the cooling protocol, GMO promoted HCO nucleation at the oil–water interface and later in the continuous phase, providing combined Pickering and network stabilization. With PGPR, HCO nucleated in the continuous phase with little evidence of interfacial nucleation. Bulk-cooling resulted in spherulitic HCO crystalline aggregates, whereas in a confined gap, ellipsoidal crystalline masses (crystal cocoons) were created. The presence of GMO led to the inclusion of the dispersed aqueous phase within these cocoons, whereas with PGPR, no such droplet encapsulation was observed. It is proposed that molecular compatibility between the oleic acid in GMO and the stearic acids in HCO permitted their liquid-state association and thus HCO nucleation and crystallization on the droplet surface, whereas PGPR’s lack of complementarity did not promote such nucleation. The formation of such crystal cocoons enclosing water droplets represents the first instance of this new class of Pickering-type emulsion stabilization.