Encapsulation of antioxidants in hydrogels, i.e., three-dimensional networks that retain a significant fraction of water, is a strategy to increase their stability and bioaccessibility. In fact, low oxygen diffusivity in the viscous gelled phase decreases the rate of oxidation. Moreover, some hydrocolloids such as alginate and whey proteins provide a pH-dependent dissolution mechanism, allowing the retention of encapsulated compounds in the gastric environment and their release in the intestine, where they can be absorbed. This paper reviews the information on alginate-whey protein interactions and on the strategies to use binary mixtures of these polymers for antioxidant encapsulation. Results showed that alginate and whey proteins strongly interact, forming hydrogels that can be modulated by alginate molecular mass, mannuronic acid: guluronic acid ratio, pH, Ca2+or transglutaminase addition. Hydrogels of alginate and whey proteins, in the forms of beads, microparticles, microcapsules, and nanocapsules, generally provide better encapsulation efficiency and release properties for antioxidants with respect to the hydrogel of alginate alone. The main challenges for future studies are to extend knowledge on the interactions among three components, namely alginate, whey proteins, and the encapsulated bioactive compounds, and to investigate the stability of these structures under food processing conditions. This knowledge will represent the rationale basis for the development of structures that can be tailored to specific food applications.