A Pickering emulsion was prepared using β-cyclodextrin (β-CD) and a cinnamaldehyde (CA)/β-CD composite as emulsifiers and corn oil, camellia oil, lard oil, and fish oil as oil phases. It was confirmed that Pickering emulsions prepared with β-CD and CA/β-CD had good storage stability. The rheological experiments showed that all emulsions had G′ values higher than G″, thus confirming their gel properties. The results of temperature scanning rheology experiments revealed that the Pickering emulsion prepared with β-CD and CA/β-CD composites had high stability, in the range of 20–65 °C. The chewing properties of Pickering emulsions prepared by β-CD and corn oil, camellia oil, lard, and herring oil were 8.02 ± 0.24 N, 7.94 ± 0.16 N, 36.41 ± 1.25 N, and 5.17 ± 0.13 N, respectively. The chewing properties of Pickering emulsions made with the CA/β-CD composite and corn oil, camellia oil, lard, and herring oil were 2.51 ± 0.05 N, 2.56 ± 0.05 N, 22.67 ± 1.70 N, 3.83 ± 0.29 N, respectively. The texture properties confirmed that the CA/β-CD-composite-stabilized-emulsion had superior palatability. After 28 days at 50 °C, malondialdehyde (MDA) was detected in the emulsion. Compared with the β-CD and CA + β-CD emulsion, the CA/β-CD composite emulsion had the lowest content of MDA (182.23 ± 8.93 nmol/kg). The in vitro digestion results showed that the free fatty acid (FFA) release rates of the CA/β-CD composite emulsion (87.49 ± 3.40%) were higher than those of the β-CD emulsion (74.32 ± 2.11%). This strategy provides ideas for expanding the application range of emulsifier particles and developing food-grade Pickering emulsions with antioxidant capacity.