In this study, the effects of different mass fractions of whey protein isolate (WPI) on the physicochemical properties, physical stability, rheological properties and microstructure of Antarctic krill oil (AKO, 30%, m/m)-in-water emulsion were compared and analyzed. The results showed that the mean particle size and zeta potential of AKO emulsion without WPI were 516.67 nm and −14.03 mV, respectively. As the mass fraction of WPI increased from 0% to 6%, the mean particle size of the emulsion decreased by 42.28% (P < 0.05), and the absolute value of zeta potential significantly increased by 18.05% (P < 0.05). The physical stability of the emulsion was obviously improved. Shear rheological test showed that the apparent viscosity of the emulsion increased with an increase in WPI mass fraction. Microrheological test showed that the introduction of WPI in the emulsion system slowed down the droplet movement speed, increased the elastic behavior, and decreased the fluidity. The microstructure observation showed that WPI addition caused the emulsion to form a more complete and uniform network structure, binding more lipid droplets to maintain the stability of the emulsion. The excessive addition (greater than 6%) of WPI caused the flocculation of the emulsion, thereby weakening its stability. Therefore, the addition of appropriate amounts of WPI can effectively improve the stability of AKO emulsion by reducing the particle size, increasing the charge repulsion force of lipid droplets, and enhancing the viscoelasticity and protein network structure binding. This study is expected to provide guidance for constructing high-load and high-stability AKO emulsion system and broadening its application in health foods.