Double network (DN) gels based on wheat bran arabinoxylan (WBAX) and pea protein isolate (PPI) were fabricated by a two-step sequential gelation method with laccase catalyzed cross-linking followed by heating. The rheological properties, water holding capacity, microstructure and molecular structure of WBAX/PPI DN gels were investigated. Increasing the concentrations of WBAX and PPI contributed to an enhanced viscoelastic modulus of DN gel, which exhibited an interconnected, bicontinuous and compact structure with smaller pore sizes, as a result of higher cross-linking intensity of WBAX molecules. Low field nuclear magnetic resonance (LF-NMR) results showed that increasing the contents of PPI and WBAX could further restrict the water mobility within DN gel, which was beneficial for enhancing the water holding capacity of gel samples. The molecular structure analysis showed that the crosslinking of WBAX-WBAX, PPI-PPI and WBAX-PPI participated in the formation of WBAX-PPI DN gels.