In this study, α-lactalbumin-chitosan (ALA-CHI) colloidal nanoparticles were spontaneously formed mainly through electrostatic interactions for stabilizing Pickering emulsion loaded with health-beneficial but unstable menhaden oil. The oxidative stability of menhaden oil was supposed to be significantly enhanced with Pickering emulsion-based delivery systems with ALA-CHI colloidal particles. The film of ALA-CHI colloidal nanoparticles had higher surface hydrophobicity than ALA at pH 5.0, and 6.5. A near-neutral wettability (89.6°) of ALA-CHI nanoparticles was observed at pH 5.0. Stable Pickering emulsions (60% menhaden oil fraction, w/w) were successfully fabricated with only 0.12% (w/w) of ALA-CHI nanoparticles. Pickering emulsions exhibited superior storage, heat, and centrifugation stability. The formation of gel-like structures was confirmed by rheological results. The viscosity and storage modulus in the frequency range of 0.1 to 10 Hz with a 1.0% strain exhibited remarkable increases with increasing colloidal particle concentration or oil fraction. Increasing oil fractions from 20% to 60% (w/w) or colloidal particle concentrations 0.12% to 2.40% (w/w) can pronouncedly facilitate the inhibition of lipid oxidation, as confirmed by detecting the formation of primary and secondary oxidation products.