Valorisation of food by-products, like spent brewer's yeast and fruit pomaces, represents an important strategy for contributing to sustainable food production. The aims of this study were to obtain Maillard conjugates based on spent yeast protein hydrolysate (SYH) with dextran (D) or maltodextrin (MD) by means of ultrasound treatment and to use them for developing encapsulation systems for the anthocyanins from aronia pomace. The ultrasound-assisted Maillard conjugation promoted the increase of antioxidant activity by about 50% compared to conventional heating and SYH, and was not dependent on the polysaccharide type. The ability of the conjugates to act as wall material for encapsulating various biologically active compounds was tested via a freeze-drying method. The retention efficiency ranged between 58.25 ± 0.38%-65.25 ± 2.21%, while encapsulation efficiency varied from 67.09 ± 2.26% to 88.72 ± 0.33%, indicating the strong effect of the carrier material used for encapsulation. The addition of the hydrolysed yeast cell wall played a positive effect on the encapsulation efficiency of anthocyanins when used in combination with the SYH:MD conjugates. On the other hand, the stability of anthocyanins during storage, as well as their bioavailability during gastrointestinal digestion, were higher when using the SYH:D conjugate. The study showed that hydrolysis combined with the ultrasound-assisted Maillard reaction has a great potential for the valorisation of spent brewer's yeast as delivery material for the encapsulation of bioactive compounds.