In this research we use heat-set whey protein aggregates (diameter similar to 200 nm) as novel building blocks for structure formation in liquid oil to form oleogels. To transfer the aggregates to the oil phase, a solvent exchange procedure to sunflower oil was applied using acetone as an intermediate solvent. We found that agglomeration of the aggregates was prevented and the particle size in oil did not change from that in the initial aqueous phase. The small protein aggregates assemble into a space-spanning network, thereby providing solid-like properties to liquid oil. From oscillatory rheology we conclude that the aggregates are highly effective in forming a network. Already at similar to 3% we found that G' > G" and G' scales with protein concentration as G' similar to D-p(5.3). Applying a fractal gel network theory to the rheological data we deduce that the gels are in the strong link regime with a fractal dimension of 2.2. The results show that protein aggregates, besides their well-known functionality in aqueous solvents, are capable of forming a network in liquid oil. This provides a novel and promising way to design oleogels with tuneable theological properties, applicable to e.g. foods, pharmaceuticals and/or cosmetics. (C) 2016 Elsevier Inc. All rights reserved.