In this study, a new class of microgels called ‘conjugate microgels’ was designed, where whey protein isolate (WPI) was conjugated with dextran (Dx, 500 kDa) (WPI-Dx) via Maillard reaction before fabricating the microgel particles. Such microgel particles were assessed for their abilities to act as Pickering stabilizers for oil-in-water emulsions and also checked if they offered gastric stability to the Pickering emulsions during in vitro digestion against interfacial pepsinolysis. WPI-Dx conjugates were obtained by controlled dry heating (60 °C, 79% RH, 24–48 h incubation). Sodium dodecyl sulphate polyacrylamide gel electrophoresis (SDS-PAGE) and ortho-phthaldialdehyde (OPA) profile revealed that the degree of conjugation ranged from 11.6 to 28.1%. The WPI-Dx conjugates were re-dispersed and heat-treated to form heat-set gels with moduli ranging from ~45 to 250 kPa. Microgel particles (hydrodynamic diameters of 130–150 nm, ζ-potentials of −4.5 to −8.0 mV) were created by controlled shearing of these heat-set gels. Interfacial shear rheology measurements and microscopic examination confirmed that conjugated microgel particles with lower degree of conjugation (WPDx10M) were effective as Pickering stabilizers. When present in an aqueous dispersion, WPDx10M had reduced degree of gastric proteolysis (120–130 μM free NH2) as compared to non-conjugated counterparts (187–205 μM free NH2). When present at the droplet surface, cross-correlation image analysis revealed that WPDx10M was successful in delaying interfacial gastric proteolysis. Insights from this study suggest that conjugate microgel particles might be useful to design gastric-stable Pickering emulsions in the future for effective delivery of lipophilic compounds to the intestines.