This study was conducted to prepare walnut protein isolate nanoparticles (nano-WalPI) by pH-cycling, combined with the ultrasound method, to investigate the impact of various nano-WalPI concentrations (0.5~2.5%) and oil volume fractions (20~70%) on the stability of Pickering emulsion, and to improve the comprehensive utilization of walnut residue. The nano-WalPI was uniform in size (average size of 108 nm) with good emulsification properties (emulsifying activity index and stability index of 32.79 m2/g and 1423.94 min, respectively), and it could form a stable O/W-type Pickering emulsion. When the nano-WalPI concentration was 2.0% and the oil volume fraction was 60%, the best stability of Pickering emulsions was achieved with an average size of 3.33 μm, and an elastic weak gel network structure with good thermal stability and storage stability was formed. In addition, the emulsion creaming index value of the Pickering emulsion was 4.67% after 15 days of storage. This study provides unique ideas and a practical framework for the development and application of stabilizers for food-grade Pickering emulsions.