Entrapping bioactive ingredients like elderberry extract in hydrogels improves their stability and functionality in food matrices. This study assessed the effect of sequential thermal treatment with ultrasound (US) or high hydrostatic pressure (HHP) and treatment duration on pea protein–psyllium hydrogels as elderberry extract carriers. Measurements included color parameters, extract entrapment efficiency, physical stability, textural properties, microrheology, FT-IR, thermal degradation (TGA), SEM images, total polyphenols content, antioxidant activity, and reducing power. The control hydrogel was obtained using only thermal induction. Both treatments impacted physical stability by affecting biopolymer aggregate structures. Thermal and US combined induction resulted in hydrogels with noticeable color changes and reduced entrapment efficiency. Conversely, thermal and HHP-combined induction, especially with extended secondary treatment (10 min), enhanced hydrogel strength, uniformity, and extract entrapment efficiency (EE = 33% for P10). FT-IR and TGA indicated no chemical structural alterations post-treatment. Sequential thermal and HHP induction preserved polyphenol content, antioxidant activity (ABTS = 5.8 mg TE/g d.m.; DPPH = 11.1 mg TE/g d.m.), and reducing power (RP = 1.08 mg TE/g d.m.) due to the dense hydrogel structure effectively enclosing the elderberry extract. Sequential thermal and HHP induction was more effective in developing pea protein–psyllium hydrogels for elderberry extract entrapment.