Cheese is described as an emulsion gel, in which the dispersed phase comprises milk fat globules while the continuous phase consists of a casein gel network. By embedding fat into the casein network, it is possible to tailor the viscoelastic and physiochemical properties of casein emulsion gels and design customized cheese products. In this study, we incorporated 0.1, 7, 11, and 18% (w/w) milk fat in casein gels made from renneted skimmed milk curd and investigated its effect on microstructure, rheological properties, and melting behavior of the gels. Confocal laser scanning microscopy images revealed the presence of larger fat globules and serum pockets in samples with a fat content >11%, which also led to a more porous protein gel network structure. A higher proportion of water with high mobility, observed by low-field nuclear magnetic resonance, confirmed the presence of more or larger serum pockets in gels with the highest fat content. Rheological analysis showed that casein gels exhibited a behavior typical of weak solid viscoelastic materials. Increasing fat content increased gels strength, as revealed by a rise in storage modulus, but made them more susceptible to deformation. The gel-sol transition temperature increased from 65.5 ± 0.7 to 71.9 ± 0.2 °C with increased fat content due to the relatively lower moisture content in gels with a fat content >11%. The results obtained provided a better understanding of the possibility to modulate structural and rheological properties of casein emulsion gels emulsified with milk fat.