In response to the need for replacing saturated and trans fats, oleogels (structured vegetable oils in the presence of gelators) opened a new area for food formulations. Although, oleogels have shown to be capable of mimicking textural attributes of solid fats and enhancing nutritional profiles in food, their usage in food products is limited. Hence investigating their interactions with protein may facilitate their applications in food products. To do so, an in-depth study of Oleocolloid (OC) matrices made of whey protein and oleogel was necessary. It was hypothesized that protein and oleogel interactions are influenced by hydrophobicity of liquid medium (oil vs. water) that eventually affect their functional properties. To evaluate this hypothesis, OCs (whey protein, rice bran wax, and high-oleic soybean oil) and Hydro Oleocolloids (HOC, made of OC + water) were designed at three whey protein concentrations (2.5, 5, and 7.5%). A control group without whey protein was also prepared. As expected, whey protein solubility in oil vs. water significantly affected developed matrices properties. Differential scanning calorimetry (DSC) analysis indicated different protein denaturation temperatures in these systems due to hydrophobic effects. DSC analysis also documented the effects of thermal and mechanical processing (required for oleogel formation) on whey protein. This resulted in firmer networks in OCs compared to HOCs. Moreover, microstructural and phase ratio analyses helped explain the observed discrepancy between the formed networks. This study highlights potential applications of OCs particularly for high protein and saturated and trans fat free food products.