This study evaluates the combined efficiency of whey protein isolate (WPI) with maltodextrin (MD) and gum arabic (GA), as a delivery system for encapsulating Citrus reticulata essential oil (CEO). The wall materials blended at different rates were produced to obtain seven formulations of nanocapsules (NCEO), namely NCEO-GA, NCEO-MD, NCEO-WPI, NCEO-GA/MD, NCEO-GA/WPI, NCEO-MD/WPI, and NCEO-GA/MD/WPI. The interaction between CEO and WPI was simulated by molecular docking. Findings showed that the physicochemical characteristics and storage stability of formulations containing WPI were considerably improved. The NCEO-GA/MD/WPI formulation demonstrated the optimum values of encapsulation efficiency (92.08%), highest glass transition temperature (79.11 °C), high crystallinity (45.58%), high thermal stability (mass loss at 100 °C < 5%), and also had the highest antioxidant activity and lowest peroxide value after storage. This study demonstrated that combining WPI with MD and GA, as wall material encapsulation, can produce nanocapsules with superior properties to those created using polysaccharides individually.