This study was aimed at characterizing the physicochemical properties of whey protein isolate (WPI)-xanthan gum (XG) complexes and the oil-in-water (O/W) type emulsions stabilized with the complexes. The WPI-XG complexes were fabricated under acidic conditions (pH 4.0) by changing the XG content (0.05–0.2%) of the complexes, and the O/W emulsions were prepared at 20% oil content at pH 4.0. In addition to the physicochemical properties, the assembly of the complexes and the interfacial microstructures of the emulsions were also explored by cryo-SEM to determine the stabilization mechanism of the emulsions. The results revealed that the WPI-XG complexes were around 100 nm in diameter and had a lower isoelectric point (≈pH 2.0) compared to un-complexed WPI (≈pH 4.5). The droplet size of the emulsions did not change during storage at 25 °C for 28 days when the XG content was over 0.12%. Cryo-SEM showed that the WPI-XG complexes (or WPI globules) adsorbed onto the surface of oil droplets with XG fibrils extending from WPI, contributing to the emulsion stability. It was suggested that these structural features of the complexes contributed to enhancing the emulsion stability. The findings of this study will be useful for the development of emulsified foods with novel functionality, by using natural ingredients.