In this work, whey protein isolate (WPI)‐coated astaxanthin‐loaded liposomes are prepared by combining the fabrication of liposomes with the layer self‐assembly deposition technique. The physical properties of such composite carriers are evaluated by zeta potential, particle size, distribution, encapsulation efficiency, and morphology. WPI‐ coated astaxanthin‐loaded liposomes display homodisperse distribution and high encapsulation efficiency with a WPI coating layer surrounding the surface of conventional liposomes by the electrostatic interaction. Fourier transform infrared spectroscopy and X‐ray diffraction analysis reveal that WPI interacts with the lipid bilayer via hydrophobic forces and hydrogen bonding, which result in the successful coating. Based on experimental results of differential scanning calorimetry and thermogravimetric analysis, it is demonstrated that thermal stability of astaxanthin‐loaded liposomes benefits from the formation of surface modification of the WPI‐layer. In addition, the physical stability of WPI‐coated astaxanthin‐loaded liposomes under heating and light is significantly improved as compared with uncoated liposomes. This research might provide scientific guidance for the development of WPI‐coated liposomes as efficient carrier systems for bioactive substances in food and pharmaceutical industry. Practical Applications: To improve lipid membrane stability and to prevent the leakage of encapsulated astaxanthin, a novel carrier system based on WPI coated on the surface of liposomes is prepared through the layer self‐assembly deposition technique. This research suggests that WPI‐coated liposomes represent an effective and stable delivery system for astaxanthin. WPI‐coated liposomes could be developed as efficient carrier systems for bioactive compounds in the food and pharmaceutical industries.