In this study, we developed a kind of γ-cyclodextrin (γ-CD) emulsion that could encapsulate β-carotene and egg white peptides with high encapsulation efficiency. Commonly used indicators of physical and chemical properties such as encapsulation efficiency, loading rate, and droplet size were used to evaluate the emulsion. Furthermore, we confirmed the binding condition through molecular forces and Fourier transform infrared (FTIR) spectroscopy. After that, we clarified that the binding mode between γ-CD and β-carotene was dominated by hydrophobic interaction forces, and further detected that the binding mode of γ-CD with egg white peptides was dominated by hydrogen bonding forces. The two emulsions were characterized by rheological properties, changes in environmental factors (temperature, ions, pH, and freeze-thaw), and it was clarified that the two Pickering emulsions were stable at different temperatures (up to 80 °C), ionic strengths (0−0.25 mol/L), weakly acidic and alkaline conditions, and the number of freeze-thawing times of two or less. In addition, based on the study of egg white peptide-loaded emulsions, egg white peptide-added coconut milk products were prepared and investigated, and it was demonstrated that the properties of the products were improved by the addition of bioactive peptide emulsions. Our study provided a theoretical basis for the application of egg white peptides and broadened the development of bioactive peptides in beverage products.