The health risks associated with saturated and trans fats have intensified interest in alternative structuring systems for bakery fats. This study evaluated five natural waxes (beeswax, carnauba wax, rice bran wax, coconut wax, and soy wax) blended with extra virgin olive oil at 9% and 12% (w/w) and crystallized at 4 °C or −18 °C, to assess their functionality as margarine replacers in cake batters. Oleogels were characterized using UV-Vis spectroscopy, FTIR, XRD, rheology, and oil-holding capacity. Batter performance was assessed through creaming index, density, and color, while baked cakes were evaluated for texture profile (TPA), porosity, and surface color. Results showed that wax type, concentration, and crystallization temperature significantly influenced oleogel structure and batter behavior. Beeswax and rice bran wax formed semi-flexible crystalline networks that closely mimicked margarine in terms of aeration and stability, producing cakes with comparable porosity, texture, and visual attributes. Carnauba wax enhanced creaming stability but limited air incorporation, while soy and coconut waxes showed weaker structuring and reduced batter performance. Crystallization at −18 °C improved gel strength and network definition across most wax types. Overall, beeswax and rice bran wax oleogels demonstrated strong potential as clean-label, functional fat alternatives in aerated cake systems, offering structural and sensory properties similar to traditional margarine.