Oleogels can replace animal fat and improve quality in gelled products. The effect of their structure characteristics on gelation mechanism was investigated from the multi-scale, and comparison of spatial structure and function from pork and golden pompano (Trachinotus ovatus) proteins was clarified. The results showed that increasing beeswax concentration facilitated molecular assembly and network structure, thus improving oil/water-holding capacity in fish and pork protein gels. High unsaturation degree enhanced molecular crosslinking between fish oil oleogels and proteins to reduce fat loss in fish protein gels, but pork protein gels had opposite results. The differences of emulsification and filling effect could be ascribed to binding capacity of proteins with water molecules and lipids as well as egg box-like structure. Beeswax concentration played a vital role in stabilizing bound water and immobilized water. Enhanced unsaturation degree facilitated migration of free water in both protein network. Increasing beeswax concentration lowered the population of free fat, but high unsaturation degree enhanced the population of free unsaturated fat. Beeswax concentration, fish oil ratio and unsaturation degree all enhanced β-sheets, but excessively high unsaturation degree lowered oil/water-holding capacity. The structure characteristics adjusted unfolding of fish and pork proteins as well as exposure of tyrosine residues, and sulfydryls were transformed into disulfide bonds, which altered oil and water retention as well as gelation and texture. Beeswax-based fish oil oleogels altered spatial structure and microstructure, thus affecting molecule binding. This can provide a theoretical foundation for low-fat gelled products with EPA and DHA.