Partial substitution of margarine by microencapsulated chia oil (rich in n-3 and n-6 fatty acids) in carnauba wax solid lipid microparticles was investigated, to obtain cookies containing omega-3 and omega-6. The microparticles were prepared by the hot homogenisation in which the lipid phase is molten and dispersed as small droplets in an aqueous phase followed by a cooling/solidification step. Cookies were produced using only margarine (control) and also with partial substitution of margarine by microencapsulated chia oil (15% and 30%wt). Texture profile analysis results of the cookie dough (pre-baking) were affected (p < 0.05) by partial substitution; however, the puncture force of the baked cookies was not impacted. The α-linolenic acid concentration increased 48.5 and 110.4%, respectively, when compared with the control sample, and the atherogenicity and·thrombogenicity indexes were significantly reduced. The thermal behaviour of the microparticles was similar before and after incorporation into the cookies (differential scanning calorimetry), despite melting during baking of the cookies. Cookies with 30%wt substitution exhibited the highest storage colour stability. Changes in the cookie moisture sorption were detected due to the presence of the microcapsules, which is probably an indication of water immobilisation by sodium caseinate used in the particle formulation. Sensory analysis demonstrated good acceptability for the sample with 15%wt margarine substitution.