Whey protein isolate (WPI) microgels formed via cold-set gelation encapsulated vitamin D3 (VD3) forming VD3 WPI (WPI/VD3) microgels. The microgel encapsulation efficiency and stability against temperature (72 °C for 15 s or 63 °C for 30 min), UV-light (254 nm) and four-week storage (4, 20 and −20 °C) was analysed. The microgels encapsulated up to 98% of VD3. Moreover, the microgels significantly improved the stability of VD3 compared with the control when exposed to environmental stresses. An in vitro digestion model was used to assess the gastrointestinal behaviour of WPI/VD3 microgels. The oral and gastric phases revealed negligible VD3 release. However, in the intestinal phase 97% VD3 was released at the end of digestion. This indicates that the microgels can protect VD3 through early digestion and release at the optimal phase for absorption. The results demonstrated that cold-set WPI microgels can serve as a potential food-grade vehicle for VD3 with potential applications in functional foods.