Phytoglycogen-derived self-assembled nanoparticles (SMPG/CLA) and enzymatic-assembled nanoparticles (EMPG/CLA) were fabricated for delivery of conjugated linoleic acid (CLA). After measuring the loading rate and yield, the optimal ratio for both assembled host–guest complexes was 1 : 10, and the maximum loading rate and yield for EMPG/CLA were 1.6% and 88.1%, respectively, higher than those of SMPG/CLA. Structural characterization studies showed that the assembled inclusion complexes were successfully constructed, and had a specific spatial architecture with inner-core amorphous and external-shell crystalline parts. A higher protective effect against oxidation of EMPG/CLA was observed than that of SMPG/CLA, supporting efficient complexation for a higher order crystalline structure. After 1 h of gastrointestinal digestion under the simulated conditions, 58.7% of CLA was released from EMPG/CLA, which was lower than that released from SMPG/CLA (73.8%). These results indicated that in situ enzymatic-assembled phytoglycogen-derived nanoparticles might be a promising carrier platform for protection and targeted delivery of hydrophobic bioactive ingredients.