The heteroprotein complex coavervation (HPCC) is triggered by the interaction between oppositely charged proteins resulting in two liquid phases in equilibrium: the coacervate phase, which is rich in protein and the equilibrium solution which has low protein concentration. Several intrinsic and extrinsic factors affect the HPCC, including the nature and the conformational state of the involved proteins. In this work, the mechanism of complex coacervation between type A gelatin (GA) and native and thermal treated (70 °C/5 min) β-lactoglobulin (β-lg and β-lg (TT)) was investigated. In addition, the ability of the obtained complex coacervates to entrap lutein was evaluated. The applied thermal treatment led to an increase of about 20% in the concentration of surface free sulfhydryl groups and increased around 66% the surface hydrophobicity of β-lg (TT), compared with the untreated one. Nevertheless, minor impact was noticed in the aggregation state of the proteins, as well as in their ability to bind lutein (Ksv in the magnitude order of 10⁴ M⁻¹). The optimal condition for the complex coacervation between GA-β-lg and GA-β-lg (TT) was pH 6.5, minimal ionic strength and mass ratio of 2.5:1. Even if the applied thermal treatment did not promote important changes in the thermodynamic parameters of the molecular interaction between GA-β-lg (TT) compared with those for the molecular interaction between GA-β-lg, it negatively affected the coacervation yield (from 64% to 57% in the optimal condition). Both obtained complex coacervates exhibited high lutein entrapment efficiency, demonstrating their potential for protecting and delivering this bioactive compound.