Ultrasound is one of the most commonly used methods to prepare Pickering emulsions. In the study, zein nanoparticles-flaxseed gum (ZNP-FSG) complexes were fabricated through various preparation routes. Firstly, the ZNP-FSG complexes were prepared either through direct homogenization/ultrasonication of the zein and flaxseed gum mixture or through pretreatment of zein and/or flaxseed gum solutions by ultrasonication before homogenization. The Pickering emulsions were then produced with the various ZNP-FSG complexes prepared. ZNP-FSG complexes and the final emulsions were then characterized. We found that the complex prepared by ultrasonication of zein as pretreatment followed by homogenization of the ZNP with FSG ((ZNPU-FSG)H) exhibited the smallest turbidity, highest absolute potential value, relatively small particle size, and formed the most stable complex particles. Meanwhile, complex prepared through direct ultrasonication plus homogenization on the mixture ((ZNP-FSG)HU) showed significantly decreased emulsifying properties and stability. Compared with the complex without ultrasonic treatment, the complex and emulsion, which prepared by ultrasonicated FSG were extremely unstable, and the phase separation phenomenon of the emulsion was observed 30 min after preparation. The above conclusions are also in line with the findings obtained from the properties of the corresponding emulsions, such as the droplets size, microstructure, freeze-thaw stability, and storage stability. It is, therefore, clear that to produce stable Pickering emulsion, ultrasonication should be avoided to apply together at the end of ZNP-FGS complex preparation. It is worth noticing that the emulsions prepared by complex with ultrasonicated zein (ZNPU-FSG)H are smaller, distributed more uniformly, and are able to encapsulate oil droplets well. It was found that the emulsions prepared with ZNPU-FSG remained stable without serum phase for 14 days and exhibited improved stability at low-temperature storage. The current study will provide guidance for the preparation of protein–polysaccharide complexes and Pickering emulsions for future work.