Herein, we describe the potential use of food-grade hexosomes (HEXs) for delivering fish-purified antioxidant peptide (PF10). Using a binary lipid mixture of Dimodan U/citrem, the nanocarriers were produced with a size range of 202.7–569.8 nm and peptide encapsulation efficiency of 64.6–89.3%. These HEXs were also characterized by SAXS and cryo-TEM, and were able to sustain the release of PF10, where only 32.2% released in PBS after 24 h. SAXS findings verified that PF10 modulate the internal structure of HEXs in a pH-dependent manner. Antioxidant assays proved the efficacy of such nano-self-assemblies in maintaining the bioactivity of the loaded peptide. Moreover, the in vitro gastrointestinal stability test indicated that the antioxidant capacity of the free- and PF10-loaded HEXs decreased under SGF/SIF conditions with the reduction in activity being greater for the free PF10. The present findings may provide a useful basis for development of pH-responsive nano-self-assemblies for delivery of antioxidant peptides.