Soy lipophilic protein nanoparticles (LPP), which present a novel delivery vehicle for conjugated linoleic acid (CLA), were fabricated by ultrasonication of the soy lipophilic protein (LP), which exhibits unique characteristics including a high loading capacity, oxidation protection and a sustained releasing profile in vitro for CLA. The CLA-loaded LPP exhibited a mean diameter of 170 ± 0.63 nm and a loading capacity of 26.3 ± 0.40% (w/w). A coating of sodium caseinate (SC) on the surface improved the colloidal stability of the CLA-loaded LPP. This encapsulation conferred protection against the oxidation of CLA, by which the head space-oxygen consumption and hydrogen peroxide value were obviously decreased in comparison with the SC-encapsulated CLA and CLA alone. The delivery system enables a sustained releasing profile of CLA in a simulated gastrointestinal tract (GIT). These findings illustrate that the LPP could act as an effective delivery device for CLA, which could provide oxidation stability and a sustained release property.