The present study aimed to assemble protein fibril–polysaccharide hydrogels as nutraceutical delivery vehicles. Turbidity titrations confirmed that complexations between ovotransferrin (OVT) fibrils and xanthan gum (XG) indeed occurred, and electrostatic interaction was the major driving force of OVT fibril–XG complexation. After optimization of the pH and acidifier, stable OVT fibril–XG hydrogels could be fabricated by adjusting the pH to 4.0 with glucono delta-lactone. To better understand the physicochemical properties of OVT fibril–XG gel, characterization of XG gel was also conducted. Scanning electron microscopy indicated that OVT fibril–XG gel had a denser network than XG gel. Rheological measurements revealed that OVT fibril–XG gel had higher gel strength and viscosity than XG gel. OVT fibril–XG gel and XG gel could be used as dihydromyricetin (DMY) delivery vehicles with a higher DMY loading (2 mg mL−1). DMY release was investigated using an in vitro gastrointestinal digestion model. All DMY was released from OVT fibril–XG gel after gastrointestinal digestion, and only 41.7% of DMY was released from XG gel after gastrointestinal digestion, indicating that OVT fibril–XG gel was more efficient in DMY delivery. DMY was released via a non-Fickian transport mechanism in both OVT fibril–XG gel and XG gel. The results of this study could provide new insight into the assembly of protein fibril–polysaccharide hydrogels and rational design of hydrogels as nutraceutical delivery vehicles.