Recently, our group developed Oleocolloid and hydro Oleocolloid systems formulated with whey protein and oleogels having notably different rheological and microstructural properties compared to regular oleogels. Further examination of the developed colloidal matrices and the connections between proteins and lipids are studied in this research. Effects of protein-lipid interactions on oleogel crystallization and polymorphic behavior of lipid crystals in the developed systems were studied using X-ray diffraction (XRD) and differential scanning calorimetry (DSC). Samples’ XRD and DSC spectra confirmed the existence of an orthorhombic sub-cell structure of β′ lipid crystals in all systems. However, results from rheological and microstructural analyses suggested potential effects of protein-lipid interactions on the physical properties of the matrices. To characterize these interactions and their relationships with the systems’ structure formation, scaling theories were used. Networks’ fractal dimensions were measured (from confocal microscopy images) and calculated using rheological data and strong or weak-link regime theories. Comparison of fractal dimension from microscopy and rheology data showed Oleocolloid was in weak-link regime whereas hydro Oleocolloid did not fit in any of the regime. This could be due to protein solubility, denaturation, and its interactions with lipids that are influenced by the formulation and processing conditions. This is in agreement with our previous Raman and Infrared analysis that illustrates different chemical interactions between proteins and lipids in water vs. oil medium. Understanding the physical nature of Oleocolloid matrices is important for applications in various food products particularly rich in proteins and healthy fats.