Microencapsulation is the entrapment of a component (i.e. the ‘core’) within a secondary material (encapsulant matrix). Encapsulation isolates the core from its environment until its release in response to an external stimulus or trigger. It protects the core against degradation during storage and against stresses that are encountered during processing. Encapsulation can be used to prevent/decrease the oral release of components that have undesirable taste properties and it has the potential to enable the targeted delivery of bioactives within the gastrointestinal tract. Food-grade cores and encapsulant matrices are desired for designing encapsulated ingredients that are intended for incorporation into food products. Milk constituents are widely used as encapsulant matrices because they possess many of the properties that are required to make encapsulated ingredients functional. This includes their ability to build viscosity, gel and emulsify. This paper discusses the functional properties of milk constituents that are capitalised upon in the design of ingredients that contain encapsulated components. Selected examples of the application of milk constituents for the encapsulation of oils are used to demonstrate (a) the effect of the type of milk protein that is used alone or in combination with other matrix constituents on encapsulation efficiency and (b) glycation to modify the functionality of milk proteins for encapsulating oils.