Pickering emulsion is a new type of emulsion system that uses solid particles to achieve the stability. Compared with traditional emulsions, Pickering emulsion has not only the basic characteristics of classic emulsions, but also better stability, higher safety and a wider range of applications. As a result, Pickering emulsion has received widespread attention. However, most researchers used inorganic particles or organic polymers to prepare Pickering emulsions. These particles have shortcomings such as low biocompatibility and poor degradability, which limit their use in the food industry. Therefore, seeking food-grade natural stabilizers has become a development trend. β-cyclodextrin is a cyclic oligosaccharide composed of seven glucose molecules. It has a unique structure of hydrophobic internal and hydrophilic external, and has good emulsifying properties. In the water-oil system, β-cyclodextrin can embed the oil phase in the inner cavity and adsorb the water phase on the outer wall, forming an interfacial film at the oil-water interface in the form of clathrate particles, thereby forming a stable emulsion system. In order to make the Antarctic krill oil Pickering emulsion stabilized by β-cyclodextrin and study its stability, the effects of different emulsification methods (ultrasonic, high-speed shearing, high pressure microfluidics), different oil phase volume fractions (30%, 40%, 50%, 60%, 70%), and different β-cyclodextrin mass fraction (1%, 2%, 3%, 4%, 5%) on the emulsion system (turbidity, centrifugal stability, particle size, ζ-potential) were studied and the preparation process of β-cyclodextrin stabilized Antarctic krill oil Pikering emulsion was determined. Then, the thermal sterilization stability, freeze-thaw stability and storage stability of the emulsion were investigated through the appearance, microscopic changes of the emulsion and the characteristic indexes. The results showed that a stable Antarctic krill oil Pickering emulsion was prepared with 60% oil volume fraction, 3% β-cyclodextrin mass fraction and high-speed shear emulsification. The turbidity, centrifugal stability, particle size and ζ-potential of the emulsion were 1.83, 85.12%, 110.5 nm and -28.39 mV, respectively. Thermal sterilization had no significant effect on the appearance and microstructure of the emulsion, and the characteristic index of the emulsion. Freezing and thawing process had a significant impact on the emulsion. After the freezing and thawing, serious precipitation and emulsification took place in the emulsion, and the emulsion was no longer in a uniform and stable state. After the emulsion was stored for 16 days, although the appearance structure, microstructure and characteristic indexes of the emulsion had changed, the emulsion still showed a uniform and stable state. In short, β-cyclodextrin as a stabilizer could be used to prepare Antarctic krill oil Pickering emulsion, which could have good thermal sterilization and storage stability (within 16 days), but no freeze-thaw stability.