The lipophilization of polyphenols (phenolipids) may increase their affinity for membranes, leading to better antioxidant protection. Cholesteryl esters of caffeic, dihydrocaffeic, homoprotocatechuic and protocatechuic acids were synthetized in a one-step procedure with good to excellent yields of ~50–95%. After evaluation of their radical scavenging capacity by the DPPH method and establishing the anodic peak potential by cyclic voltammetry, their antioxidant capacity against AAPH-induced oxidative stress in soybean PC liposomes was determined. Their interaction with the liposomal membrane was studied with the aid of three fluorescence probes located at different depths in the membrane. The cholesteryl esters showed a better or similar radical scavenging capacity to that of α-tocopherol and a lower anodic peak potential than the corresponding parental phenolic acids. Cholesteryl esters were able to protect liposomes to a similar or greater extent than α-tocopherol. However, despite their antiradical capacity and being able to penetrate and orientate in the membrane in a parallel position to phospholipids, the antioxidant efficiency of cholesteryl esters was deeply dependent on the phenolipid polyphenolic moiety structure. When incorporated during liposome preparation, cholesteryl protocatechuate and caffeate showed more than double the activity of α-tocopherol. Thus, cholesteryl phenolipids may protect biomembranes against oxidative stress to a greater extent than α-tocopherol.