Enrichment of polyunsaturated fatty acids (PUFAs) is a growing trend in the food industry. However, PUFAs are known to be susceptible to lipid oxidation. It has been shown that oxidizing lipids react with proteins present in the food and that as a result polymeric protein complexes are produced. Therefore, the aim of this work was to investigate the impact of lipid and protein co-oxidation on protein digestibility. Casein and whey protein (6 mg/mL) based emulsions with 1% oil with different levels of PUFAs were subjected to respectively autoxidation and photo-oxidation. Upon autoxidation at 70 °C, protein digestibility of whey protein based emulsions containing fish oil decreased to 47.7 ± 0.8% after 48 h, whereas in the controls without oil 67.8 ± 0.7% was observed. Upon photo-oxidation at 4 °C during 30 days, mainly casein-based emulsions containing fish oil were affected: the digestibility amounted to 43.9 ± 1.2%, whereas in the control casein solutions without oil, 72.6 ± 0.2% of the proteins were digestible. Emulsions containing oils with high PUFA levels were more prone to lipid oxidation and thus upon progressive oxidation showed a higher impact on protein digestibility.