This study investigated the formation and characterization of Maillard-type conjugates formed between egg white powder (EWP) and gellan gum (GG) using dry heating and ultrasound-assisted methods. Conjugates, prepared at different protein-to-polysaccharide ratios (6:1, 4:1, 2:1, 1:1, and 1:2), were evaluated in terms of structural, physicochemical, and functional properties. Ultrasound treatment resulted in a significant acceleration of glycation, achieving a degree of graft of 57% within 15 min compared with 52% after 7 days of classical heating. Covalent interactions between EWP and GG through characteristic amide and saccharide shifts were confirmed by FTIR. The formation of high-molecular-weight conjugates, particularly in ultrasound-treated samples, was observed by SDS-PAGE bands. DSC indicated improved thermal stability of EWP following conjugation, with ultrasound treatment yielding higher denaturation temperatures. Ultrasound treatment resulted in small particle sizes and high absolute zeta potential values, reflecting improved colloidal stability. Although conjugation reduced solubility at higher GG levels, ultrasound-assisted samples largely preserved functional integrity. The comparison of dry heating and ultrasound-assisted methods for preparing EWP–GG Maillard conjugates has not been exploited yet. The findings in the present work confirm that ultrasonication is a promising and efficient approach for producing EWP–GG conjugates with enhanced functional properties. Compared with conventional heating, ultrasound offered advantages in reaction efficiency, thermal stability, interfacial activity, and structural compactness. Hence, this method provides a controllable and economical strategy for designing wall materials, bioactive compound carriers, and novel biomaterials based on EWP–GG complexes.