Delivering hydrophobic bioactive compounds remains a challenge, particularly in co-delivery of multiple immiscible compounds. Limited research has explored co-encapsulating hydrophobic actives using macromolecules. In this study, ellagic acid as a solid hydrophobic substance and Litsea Cubeba essential oil as an oily hydrophobic component were successfully loaded using heat- and ultrasonic- treated soy protein as a carrier. Ellagic acid was initially loaded into treated soy protein via pH-shifting. A stable Pickering emulsion was then prepared with Litsea Cubeba essential oil and solid particles adsorbed at the oil-water interface. This emulsion exhibited high centrifugal, thermal, and pH stability. When incorporated into a sodium alginate coating, the Pickering emulsion enhanced the antioxidant properties and shelf life of grapes. The results suggest heat and ultrasonic treatment are a promising approach for protein based hydrophobic compounds co-delivery system, improving dispersion and antioxidant capacity, thereby advancing co-delivery systems in food science.