Hen egg yolk is an ideal example of natural supramolecular assemblies of lipids and proteins with different organization levels. These assemblies are mainly due to interactions between proteins and phospholipids, and these interactions are essential in understanding and controlling the production of food made with yolk, and particularly emulsions. Furthermore, these assemblies can be modulated by external constraints among which thermo-mechanical and high-pressure treatments. This review focuses on multi-scale structures present in egg yolk, and their modulation by processes, in relation with their emulsifying properties. Egg yolk is mainly composed of two fractions-plasma and granules-which are natural nano- and micro-assemblies. These two fractions possess different composition, structures and functionalities and exhibit specific behaviour under treatments such as high pressure and temperature. Plasma contains a large quantity of lipids structured as lipoproteins (low-density lipoproteins), whereas granules are mainly composed of proteins aggregated in micrometric assemblies. If plasma is responsible for the important emulsifying properties of yolk, granules bring interesting emulsifying properties when assemblies are in the form of micelles in presence of salts. High-pressure or thermal treatments, applied before or after emulsion fabrication, alter their functionalities and could be used to commercially exploit these fractions.