This work evaluated the improvement effects of lipids incorporation on water resistance of composite biodegradable film prepared with wheat bran cellulose/wheat gluten (WBC/WG) using an alkaline–ethanol film forming system. Four types of lipids, paraffin wax (PW), beeswax (BW), paraffin oil (PO), and oleic acid (OA), were tested. We found that PW, BW, and PO incorporation at 5–20% improved water vapor permeability (WVP) and surface hydrophobicity of prepared films. Particularly, incorporation of 15% BW could best improve the water resistance properties of the film, with the lowest WVP of 0.76 × 10−12 g/cm·s·Pa and largest water contact angle (WCA) of 86.18°. Incorporation of OA led to the decline in moisture barrier properties. SEM images revealed that different lipids incorporation changed the morphology and of the composite film, and cross-sectional morphology indicated BW-incorporated film obtained more uniform and compact structures compared to other films. Moreover, Fourier transform infrared spectra indicated that the incorporation of PW or BW enhanced the molecular interactions between the film components, confirmed by the chemical shift of characteristic peaks at 3277 and 1026 cm−1. Differential scanning calorimetry results revealed that incorporation of PW, BW, and PO increased films’ melting point, decomposition temperatures, and enthalpy values. Furthermore, the presence of most lipids decreased tensile strength and elongation at the break of the film. Overall, the composite film containing 15% BW obtained the most promising water resistance performance and acceptable mechanical properties, and it thus most suitable as a hydrophobic biodegradable material for food packaging.