High concentrations of ethanol could cause intracellular oxidative stress in yeast, which can lead to ethanol-oxidation cross-stress. Antioxidant dipeptides are effective in maintaining cell viability and stress tolerance under ethanol-oxidation cross-stress. In this study, we sought to elucidate how antioxidant dipeptides affect the yeast cell wall and membrane defense systems to enhance stress tolerance. Results showed that antioxidant dipeptide supplementation reduced cell leakage of nucleic acids and proteins by changing cell wall components under ethanol-oxidation cross-stress. Antioxidant dipeptides positively modulated the cell wall integrity pathway and up-regulated the expression of key genes. Antioxidant dipeptides also improved the cell membrane integrity by increasing the proportion of unsaturated fatty acids and regulating the expression of key fatty acid synthesis genes. Moreover, the addition of antioxidant dipeptides significantly (p < 0.05) increased the content of ergosterol. Ala−His (AH) supplementation caused the highest content of ergosterol, with an increase of 23.68 ± 0.01% compared to the control, followed by Phe−Cys (FC) and Thr−Tyr (TY). These results revealed that the improvement of the cell wall and membrane functions of antioxidant dipeptides was responsible for enhancing the ethanol-oxidation cross-stress tolerance of yeast.