In this study, natural oleanolic acid (OA) was used to prepare water-oil Pickering emulsion gels via a one-pot one-step ultrasonic-assisted emulsification method. Characterization revealed that OA self-assembled into nanoparticles in oil via hydrogen bonding, and these nanoparticles played dual roles in interfacial stabilization and network stabilization. The resulting emulsion gels were mainly elastic and had shear-thinning characteristics with a certain thixotropic recovery ability. Additionally, they exhibited excellent stability when exposed to high temperatures (63 and 90 °C), subjected to freeze-thaw treatments, or long-term storage (4 °C, 30 days). When used as carriers, they provide excellent protection for curcumin (Cur) and epigallocatechin gallate (EGCG) against light- and heat-induced degradation. Additionally, they protected them from digestion in the simulated gastric fluids and targeted them for controlled release in the simulated intestinal fluids. This study not only provides a simple preparation method for fabricating OA-structured emulsion gels but also proposes an effective co-delivery system for hydrophobic and hydrophilic compounds.