Docosahexaenoic acid (DHA; 22n-6) possesses multiple biological functions, including antioxidant activity and ameliorating hypertriglyceridemia. However, the application of DHA has been limited due to poor aqueous solubility and susceptible to oxidation. Here, ovalbumin (O), myosin (M), 7S soy globulin (S), and β-lactoglobulin (β), hydrolyzed by chymotrypsin, self-assembled into micelles, respectively. Adding incremental DHA to micelles caused endogenous fluorescence quenching of O, M, S, and β micelles, implying successful incorporation of DHA into hydrophobic cores of micelles (O (DHA), M (DHA), S (DHA), and β (DHA)). The results showed that micelles provided spatial stability and improved solubility, and stability against thermal and ultraviolet (UV) light for DHA. The uptake of DHA from M (DHA), β (DHA), O (DHA), and S (DHA) was 3.27-, 3.91-, 2.7-, and 3.95-fold higher, respectively, than that of DHA by Caco-2 cells. Encapsulation in micelles increased DHA aqueous solubility and uptake, which enhanced cellular endogenous antioxidant defense. Meanwhile, increased uptake of DHA was verified by HepG2 cells, and O, M, S, and β micelles were proven to increase DHA uptake to reduce lipid deposition. Our findings strongly support the possibility that O, M, S, and β micelles can be regarded as a carrier for loading DHA.