In the food industry, coconut milk has a unique flavor and rich nutritional value. However, the poor emulsifying properties of coconut proteins restrict its development. In this study, the effect of ultrasound combined with preheating on coconut globulin and coconut milk was evaluated by physicochemical properties and structural characteristics. The results showed that ultrasound and 90 °C preheating gave coconut protein better emulsifying and thermal properties, demonstrated by higher solubility (45.2% to 53.5%), fewer free sulfhydryl groups (33.24 to 28.05 μmol/g) and higher surface hydrophobicity (7658.6 to 10,815.1). Additionally, Fourier transform infrared spectroscopy and scanning electron microscopy showed obvious changes in the secondary structure. Furthermore, the change in the physicochemical properties of the protein brought a higher zeta potential (−11 to −23 mV), decreased the thermal aggregation rate (148.5% to 13.4%) and increased the viscosity (126.9 to 1103.0 m·Pa·s) of the coconut milk, which indicates that ultrasound combined with preheating treatment provided coconut milk with better thermal stability. In conclusion, ultrasound combined with preheating will have a better influence on modifying coconut globulin and increasing the thermal stability of coconut milk. This study provides evidence that ultrasound and other modification technologies can be combined to solve the problems encountered in the processing of coconut protein products.