The agar (AG) film exhibited poor mechanical and water-resistant properties which limited its application for food packaging. The structural modification of AG nanocomposite film greatly impacts their macroscopic properties. In this paper, edible AG nanocomposite films were achieved by incorporating colloidal particles based on conjugates of whey protein isolate (WPI) and alginate oligosaccharides (AOS) as the nanofiller to obtain the micro-phase separation structure and the multiple cross-linking network with the synergistic interactions of the Ca2+ crosslinking. Firstly, WPI-AOS colloidal particles were synthesized through the Wet-heating Maillard reaction. Good compatibility between WPI-AOS colloidal particles and AG was exhibited, resulting in improved mechanical and water-resistant properties of AG composite films. Compared to pure AG film, the tensile strength (TS) of the agar composite film with 10% WPI-AOS colloidal particles increased significantly to 81.87 MPa from 24.02 MPa, and the elongation at break (EAB) also improved to 46.25% from 18.65%. The moisture content (MC), water solubility (WS), and water vapor permeability (WVP) of the AG composite film decreased by 33.1%, 18.0%, and 22.4% respectively. In addition, the multiple cross-linking network hindered the relative sliding between the AG molecular chain, which resulted in improved thermal stability of the composite film. Using soft colloidal particles as nanofillers to fabricate edible films for improving their properties is an effective and promising strategy.