Hydrophobised whey protein particles were prepared through successive acetylation and heat treatment practices, and the particle characteristics were modulated by CaCl2 supplementation. Then, the usefulness of the hydrophobised protein particles for emulsification of a docosahexaenoic acid-rich oil was compared with that of heat-denatured whey protein. Addition of CaCl2 into hydrophobised whey protein resulted in smaller protein particles and lower ζ-potential and interfacial tension values. It also decreased the creaming stability of the consequent emulsions. It was argued that besides Ca2+-protein charge interactions, Cl– anions bind to the hydrophobised particles, and the Pickering stabilisation of oil does not rely on interfacial tension reduction. Compared with heat-denatured whey protein, hydrophobised whey protein afforded a lower protection to oil against oxidation; the peroxide value of the oil emulsified using hydrophobised protein was higher during storage.