Pronounced fibres are formed through simple shearing of a dense calcium caseinate dispersion. Both mechanical tests and scanning electron microscopy images demonstrate that the material is anisotropic. It is hypothesised that calcium caseinate aggregates, under shear, align into micro-fibres and bundle further into a hierarchical structure. Yet no direct evidence at the sub-micron length scale can support the assumption. Small angle neutron scattering (SANS) experiments were conducted on calcium caseinate samples prepared at different conditions. Analysis of the SANS data revealed that the micro-fibres have a diameter of ∼100nm and a length of ∼300nm. The addition of enzyme and air contributed to longer and thinner micro-fibres. Furthermore, the extent of fibre alignment at the micro-scale and the macroscopic anisotropy index followed the same trends with varying processing conditions. It is concluded that the material does indeed possess a hierarchical structure and the micro-fibres are responsible for the anisotropy on the macro-scale.