Phycobiliproteins, fucoxanthin, and krill oil are natural marine products with excellent activities. In the study, we prepared the complex of phycobiliproteins, fucoxanthin, and krill oil (PFK) and assessed the anti-obesity, lipid-lowering, and antioxidant activities in high-fat diet rats. The results showed that the rats significantly and safely reduced body weight gain and regulated serum biochemical parameters at 50 mg/kg phycobiliproteins, 10 mg/kg fucoxanthin, and 100 mg/kg krill oil. Furthermore, the molecular mechanism study suggested that the complex of PFK confined the enzyme activities of lipid synthesis and enhanced antioxidant activity to improve obesity indirectly. The conclusions demonstrated that the complex of PFK has potent anti-obesity and hypolipidemic effects which have potential use as a natural and healthy food and medicine for anti-obesity and lowering blood lipids in the future.