Lipid oxidation limits the shelf-life of dried microencapsulated oils (DMOs), such as infant formula. However, it is poorly understood how lipid oxidation is affected by different types of emulsifiers. To improve our understanding, we prepared DMOs with different emulsifiers (whey protein isolate (WPI), pea protein isolate (PPI), and non-proteinaceous CITREM) and studied lipid oxidation in both the free and encapsulated fat. Only a small difference in oxidation rate was observed between these fat fractions for all formulations. We ascribed this to a non-discrete distribution of the fractions and the subsequent low fractionation selectivity as shown by Raman microscopy. The DMO with PPI showed hardly any oxidation during a 7-week incubation at 40 °C, whereas the DMOs with WPI and CITREM both reached significantly higher contents of oxidation products (lipid hydroperoxides, aldehydes, and epoxides). The enhanced stability of DMO-PPI could not be ascribed to the presence of phytic acid. In conclusion, we demonstrate the potential of using PPI to produce oxidatively stable DMOs.