Aloe-vera extracted anthraquinones (aloin, aloe-emodin, rhein) possess a wide range of biological activities, have poor solubility and are sensitive to processing conditions. This work investigated the ultrasound-assisted encapsulation of these extracted anthraquinones (AQ) into casein micelles (CM). The particle size and zeta potential of casein micelles loaded with aloin (CMA), aloe-emodin (CMAE), rhein (CMR) and anthraquinone powder (CMAQ) ranged between 171–179 nm and −23 to −17 mV. The AQ powder had the maximum encapsulation efficiency (EE%) (aloin 99%, aloe-emodin 98% and rhein 100%) and encapsulation yield, while the whole leaf Aloe vera gel (WLAG) had the least encapsulation efficiency. Spray-dried powder (SDP) and freeze-dried powder (FDP) of Aloe vera showed a significant increase in size and zeta potential related to superficial coating instead of encapsulation. The significant variability in size, zeta potential and EE% were related to anthraquinone type, its binding affinity, and its ratio to CM. FTIR spectra confirmed that the structure of the casein micelle remained unchanged with the binding of anthraquinones except in casein micelles loaded with whole-leaf aloe vera gel (CMWLAG), where the structure was deformed. Based on our findings, Aloe vera extracted anthraquinones powder (AQ) possessed the best encapsulation efficiency within casein micelles without affecting its structure. Overall, this study provides new insights into developing new product formulations through better utilization of exceptional properties of casein micelles.