AbstractKrill oil possesses strong antioxidant activity but has limited applications in the food industry due to its poor aqueous solubility, strong off‐flavours and susceptibility to oxidative degradation. This study was aimed to improve the colloidal and oxidative stability of krill oil via microencapsulation using spray drying. Whey protein isolate (WPI), maltodextrin (MD), carboxymethyl starch (CMS) and n‐octenylsuccinate starch (OSAS) were used as the microcapsule wall materials. The results showed that WPI+MD microcapsules had the optimum characterised properties compared to WPI+CMS and WPI+OSAS microcapsules. WPI+MD microcapsules possessed the highest encapsulation efficiency of 76.59%. The optimal air inlet temperature was 165°C, providing a high krill oil encapsulation efficiency and reducing concaveness on the microcapsule surfaces. Krill oil was distributed homogeneously inside the capsules and presented a good colloidal stability during an extended storage time. The antioxidant capacity against heat was simultaneously increased owing to the improved oxidative stability by microencapsulation. Consequently, this study provides useful guidelines for improving the stability and application of krill oil in the food industry.