The influence of oil concentration and baking on the properties of low-moisture composites consisting of oil droplets dispersed in a protein–carbohydrate–glycerol matrix was investigated. These composites were produced by blending canola oil, whey protein concentrate (WPC), corn syrup, and glycerol together using a high-speed mixer. The resulting system consisted of oil droplets dispersed in a polar matrix. Some composites were analyzed directly after preparation, while others were analyzed after being heated at 176 °C for 10 min to simulate baking. The “lightness” of the composites was greater before baking (higher L value), but the color was more intense after baking (higher a and b values). The lightness and color intensity of the composites decreased as the oil concentration increased, with the effects being more pronounced in the baked samples. The ζ potential of the oil droplets (measured after dilution at pH 6) was highly negative (approximately −40 mV), indicating that whey protein was adsorbed to the droplet surfaces. The mean particle diameter (measured after dilution at pH 6) increased appreciably after baking, which was attributed to droplet flocculation. The rheological properties of the unbaked and baked materials were characterized by squeezing flow viscometry, which showed that the measurements associated with consistency and yield stress increased with increasing oil concentration and with baking.