In the present study, small angle X-ray scattering (SAXS) is applied to investigate the interaction between caseinophosphopeptides (CPP), the major digested product of milk protein, and chitosan (CS) under simulated gastrointestinal (GI) pH conditions. The change in pH value from the gastric to small intestinal environment induces complexation between CPP and CS, which is mainly driven by electrostatic interactions. The fractal dimension (Df) value of the domains inside the CPP-CS complexes is greater than 3, indicating the formation of dense particles/aggregates at the nanoscale. The Df value generally increases with an increase in the CS/CPP mass ratio. As a representative of polyphenols, (-)-epigallocatechin gallate (EGCG) associates with CS and CPP, forming nanocomplexes with a spherical shape and average particle size of around 208 nm. The formed CS-EGCG-CPP nanocomplexes do not affect the antioxidant activity of EGCG in the in vitro assays. Moreover, in the cellular assay, the nanocomplexes protect the RAW264.7 cells against H2O2-induced oxidative injury. In addition, the nanocomplexes significantly inhibit the lipopolysaccharide (LPS)-induced production of nitric oxide (NO), TNF-α, IL-1β and IL-6. Furthermore, they inhibit the expression of iNOS, phosphorylation and degradation of IκB, as well as the translocation of NF-κB p65; this indicates that the mechanism for their anti-inflammatory activity is via the mediation of the NF-κB signaling pathway.