This work studied the physical and oxidative stabilities of fish oil-in-water-in-olive oil double emulsions (O1/W/O2), where whey protein hydrolysate was used as a hydrophilic emulsifier. A 20 wt.% fish oil-in-water emulsion, stabilized with whey protein hydrolysate (oil: protein ratio of 5:2 w/w) and with a zeta potential of ~−40 mV, only slightly increased its D4,3 value during storage at 8 °C for seven days (from 0.725 to 0.897 µm), although it showed severe physical destabilization when stored at 25 °C for seven days (D4,3 value increased from 0.706 to 9.035 µm). The oxidative stability of the 20 wt.% fish oil-in-water emulsion decreased when the storage temperature increased (25 vs. 8 °C) as indicated by peroxide and p-anisidine values, both in the presence or not of prooxidants (Fe2+). Confocal microscopy images confirmed the formation of 20 wt.% fish oil-in-water-in-olive oil (ratio 25:75 w/w) using Polyglycerol polyricinoleate (PGPR, 4 wt.%). Double emulsions were fairly physically stable for 7 days (both at 25 and 8 °C) (Turbiscan stability index, TSI < 4). Moreover, double emulsions had low peroxide (<7 meq O2/kg oil) and p-anisidine (<7) values that did not increase during storage independently of the storage temperature (8 or 25 °C) and the presence or not of prooxidants (Fe2+), which denotes oxidative stability.