Considering the urgency of replacing the trans and saturated fats with unsaturated fats in the daily diet, edible oil structuring as a substitute for solid fat has recently gained increasing interest in food industry. Among the available approaches for oil structuring, Pickering emulsions stabilized by particles are known to display long-term stability against coalescence, and have the potential to emerge as an effective method for texture modification in structured oil. Moreover, cereal proteins (mainly zein, kafirin, gliadin, and wheat gluten) as widely available and environmentally sustainable food ingredients have been shown to possess excellent orientation-controlled assembly behavior and form nanoparticles due to their amphiphilic structural characteristics. Therefore, the application of cereal protein-stabilized Pickering emulsions can be regarded as a novel approach to create structured oil systems consisting of concentrated oil-in-water emulsions. In this chapter, we review the recent progress in the preparation and mechanism of cereal protein-based emulsion gels and oil gels, which fits in very well with the promise of using biopolymers for edible oil structuring, and highlight some of the challenges and directions that will be the focus of future research.