Whey protein emulsion gel is an ideal model food for revealing how the multilength scale food structures affect food digestion, as their structure and mechanical properties can be precisely manipulated by controlling the type and intensity of intermolecular interactions between protein molecules. However, there are still significant understanding gaps among intermolecular interactions, protein aggregation and gelation, emulsion gel formation, gel breakdown in the gastrointestinal tract (GIT), and the practical use of whey protein emulsion gels, which limits their GIT-targeted applications. In this regard, the relationship between the structure and digestion behavior of heat-set whey protein emulsion gels is reviewed and discussed mainly from the following aspects: (1) structural characteristics of whey protein molecules; (2) how different types of intermolecular interactions influence heat-induced aggregation and gelation of whey protein in the aqueous solutions and the oil-in-water emulsions, and the mechanical properties of the final gels; (3) functions of the mouth, the stomach, and the small intestine in processing of solid foods, and how different types of intermolecular interactions influence the breakdown properties of heat-set whey protein emulsion gels in GIT (i.e., their respective role in controlling gel digestion). Finally, the implications of knowledge derived from the formation and gastrointestinal breakdown of heat-set whey protein emulsion gels for developing controlled delivery vehicles, human satiety enhancers, and sensory modifiers are highlighted.