This study aimed to investigate the role of the yeast cell wall and membrane in enhancing osmotic tolerance by antioxidant dipeptides (ADs) including Ala-His (AH), Thr-Tyr (TY), and Phe-Cys (FC). Results revealed that ADs could improve the integrity of the cell wall by restructuring polysaccharide structures. Specifically, FC significantly (p < 0.05) reduced the leakage of nucleic acid and protein by 2.86% and 5.36%, respectively, compared to the control. In addition, membrane lipid composition played a crucial role in enhancing yeast tolerance by ADs, including the increase of cell membrane integrity and the decrease of permeability by regulating the ratio of unsaturated fatty acids. The up-regulation of gene expression associated with the cell wall integrity pathway (RLM1, SLT2, MNN9, FKS1, and CHS3) and fatty acid biosynthesis (ACC1, HFA1, OLE1, ERG1, and FAA1) further confirmed the positive impact of ADs on yeast tolerance against osmotic stress.