The enzymatic cross-linking of apo-α-lactalbumin (α-LA) with horseradish peroxidase (HRP) leads to the formation of hydrophilic protein aggregates with controlled size and architecture. We explore the rheological properties of dispersions of these HRP-cross-linked α-LA aggregates with a hydrodynamic radius (RH) of 100 nm as a function of protein concentration. Above approximately 4% (w/v) of protein, the dispersions exhibit a sol-to-gel transition due to jamming of the densely packed protein aggregates. The storage modulus (G') and apparent viscosity (η) increase exponentially with protein concentration. At a fixed concentration, the modulus G' and viscosity η of the dispersions show a power law increase with increasing particle concentration. All jammed dispersions are highly, and reversibly, shear thinning, and have an apparent viscosity that increases without bounds as the shear rate approaches zero. Our results confirm that the enzymatically cross-linked α-LA aggregates are highly swollen and hydrophilic. As a consequence, their interaction remains purely repulsive even when compressed. Horseradish peroxidase-catalyzed cross-linking of apo-α-lactalbumin thus allows for creating reversibly shear thinning protein hydrogels at rather low protein concentrations, which may be important for precisely tailoring structuring by proteins in novel food formulations.