Aroma-loaded nanoparticles (d < 300 nm) were prepared by cross-linking denatured whey protein through pH-cycling. The effect of nanoparticulation conditions and aroma concentration on the physicochemical characteristics of nanoparticles and aroma release profile was studied. Better retention of aroma was observed when ethyl hexanoate was added before nanoparticle formation. The highest aroma retention was obtained for nanoparticles produced at pH 5.0 and 5.5 without calcium addition. These nanoparticles are characterized by a less compact and more porous internal structure allowing a higher loading of aroma. Increasing aroma concentration increased the diameter and the voluminosity of the aroma-loaded nanoparticles. The percentage of aroma retention showed an increase from 7% to 24% over the tested concentration range while the value averaged 2% for native or denatured whey protein. Encapsulation of ethyl hexanoate in whey protein nanoparticles reduced the mass transfer of aroma at the surface of the matrix and improved its retention.