In this study, a kind of Pickering emulsion with a desirable interface architecture and sesame paste flavor was prepared using zein, apple pectin (AP), and sesame oil. Zein-AP composite nanoparticles (ZAPs) were first assembled via an anti-solvent procedure and electrostatic adsorption for stabilizing sesame-oil-in-water Pickering emulsions (ZASPEs). ZASPEs (volume fraction of oil φ = 0.7) exhibited excellent plasticity and viscoelasticity (indicated by low-field NMR spectroscopy and rheology). Confocal laser scanning microscopy (CLSM), demonstrated the anchoring of ZAPs at the oil–water interface, while cryo-SEM confirmed the three-dimensional microstructural network formed inside the emulsion. Compared to a commercial sesame paste, diluted ZASPEs (φ = 0.35) exhibited similar rheological and sensory properties, while ZASPEs (φ = 0.7) and diluted ZASPEs possessed greater smoothness and spreadability. Accordingly, the current ZASPEs as new additions to the existing Pickering emulsions not only function as bioactive carriers but also impart desirable flavor in food applications.