Several single and composite milk-originated wall materials were used to microencapsulate fish oil via spray drying at various inlet drying air temperatures. Skim milk powder (SMP), whey protein concentrate, whey protein isolate (WPI), 80% WPI+20% milk protein concentrate, and 80% WPI+20% sodium caseinate (NaCas) were applied as the wall for capsules generated at drying air temperatures of 140, 160, and 180 °C. The higher the drying air temperature, the higher was the particle size, encapsulation efficiency, and peroxide value and the lower was the moisture content and bulk density. The microcapsules prepared with SMP showed the highest encapsulation efficiency and lowest peroxide value for the oil due to the presence of lactose in its chemical composition. Differential scanning calorimetry and Fourier transform infrared analyses indicated the absence of any significant interaction between SMP and fish oil.