The objective of this study was to investigate the influence of microencapsulated wall material on the oxidative stability of algae oil by spray-drying. Algae oil is a rich source of docosahexaenoic acid (DHA, C22:6n-3), which is prone to oxidation. The highly hydrophobic nature of types I and II caprine caseins may improve the oxidative stability of algae oil in dairy food systems. Previous studies have reported an increase in the oxidative stability of microencapsulated borage oil, a rich source of γ-linolenic acid (GLA, 18:3n-6), by bovine casein, β-glucan and maltodextrin through spray drying. The bovine casein was useful to entrap borage oil, which is a hydrophobic bioactive compound. Blends of caprine milk protein (casein type I or casein type II), β-glucan, and maltodextrin were used as the wall material for encapsulating algae oil. The microencapsulated algae oils prepared with caprine casein type I or caprine casein type II in combination with maltodextrin and β-glucan achieved the optimal encapsulation efficiencies of 92.41% and 97.18%, respectively. The oxidative stabilities of algae oil and microencapsulated algae oils were measured at 40°C and 35% relative humidity for 28 d. The microencapsulated algae oils presented lower peroxide values than those of algae oil. The microcapsules prepared with caprine casein type II (50 g/kg), β-glucan (100 g/kg) and maltodextrin with DE = 18 (575 g/kg) improved significantly (P < 0.05) the oxidative stability of algae oil. The results of our studies showed that microencapsulation of algae oil with different wall materials attained high encapsulation efficiencies. The ability of caprine caseins (type I and type II) to minimize lipid oxidation of microencapsulated algae oils suggested that these caprine milk proteins exhibit effective microencapsulation properties for dairy food applications.