Abstract: This study aims to investigate the effect of incorporating phytosterol conjugated linoleic acid ester (PCLE) on the structural properties of lutein-loaded liposomes and to evaluate their antioxidant activity during in vitro digestion. Liposomes co-encapsulating lutein and phytosterol conjugated linoleic acid ester were prepared using the thin-film ultrasound method, with lutein incorporated in membranes composed of soybean phospholipids and PCLE. The study examined the influence of three key parameters on encapsulation efficiency: the mass ratio of PCLE to soybean phospholipids, the mass ratio of lutein to soybean phospholipids, and ultrasonic power. The liposomes were characterized by Fourier transform infrared spectroscopy (FTIR), X-ray diffraction (XRD), and differential scanning calorimetry (DSC), and their morphology was observed via transmission electron microscopy (TEM). An in vitro digestive model simulating the human gastrointestinal tract was employed to assess the DPPH radical scavenging capacity, lipid peroxidation inhibition capacity, and ferric reducing antioxidant power of the co-encapsulated liposomes throughout digestion. The results indicated that optimal preparation conditions were a PCLE-to-soybean phospholipid mass ratio of 3:40, a lutein-to-soybean phospholipid mass ratio of 4:40, and an ultrasonic power of 260 W, yielding a maximum encapsulation efficiency of (95.11 ± 0.29)%. TEM images revealed that the liposomes exhibited a regular spherical morphology and uniform distribution. Additionally, the particle size was (95.32 ± 1.30) nm, the polydispersity index (PDI) was 0.29 ± 0.08, and the zeta potential (−22.27 ± 0.69) mV. FTIR, XRD, and DSC analyses confirmed the successful encapsulation of lutein within the liposomes. Antioxidant assays during in vitro simulated digestion demonstrated that liposomes co-encapsulating lutein and PCLE exhibited excellent antioxidant capacity. This study presents a novel strategy for encapsulating lipid-soluble bioactive compounds in liposomal systems. In conclusion, lutein and phytosterol conjugated linoleic acid ester were successfully co-encapsulated into liposomes with high encapsulation efficiency and structural stability, and the incorporation of PCLE significantly enhanced their antioxidant activity during in vitro digestion.