In this study, oleogels were prepared by the emulsion-template method using egg-white protein microgel as a gelator and xanthan gum (XG) as thickener. The physicochemical properties of the emulsion and oleogels were investigated. The adsorption of protein on the surface of the oil droplet reached saturation when the protein microgel concentration reached 2%. The excess protein combined with XG and accumulated on the outer layer of the oleogel, which prevented the emulsion from flocculation, enhanced the oil-holding capacity of the oleogel, and had a positive effect on preventing the oxidation of oil. When the concentration of XG was less than 0.4%, the EWP microgel, combined with the XG, stabilized the emulsion. As the concentration of XG was greater than 0.4%, excessive XG in the emulsion improved the viscosity and mechanical properties of the emulsion to prevent the aggregation of oil droplets. However, the change in XG concentration had no significant effect on the oxidation of the oil.