The encapsulation of fish oil by monoaxial electrospraying using kafirin or zein proteins as hydrophobic wall materials was investigated. Kafirin resulted in spherical fish oil-loaded nanocapsules (>50% of capsules below 1 µm), whereas zein led to fish oil-loaded nanocapsules with non-spherical morphology (>80% of capsules below 1 µm). Both hydrophobic encapsulating materials interacted with fish oil, successfully entrapping the oil within the protein matrix as indicated by Fourier-transform infrared spectroscopy (FTIR) and Raman spectroscopy results. FTIR also suggested hydrogen bonding between fish oil and the proteins. Trapped radicals in the encapsulation matrix that were detected by electron paramagnetic resonance (EPR), indicated oxidation during electrospraying and storage. Results from isothermal (140 °C) differential scanning calorimetry (DSC) denoted that the encapsulation of fish oil by electrospraying using both kafirin or zein as wall materials protected fish oil from oxidation. In particular, the zein-based nanocapsules were 3.3 times more oxidatively stable than the kafirin-based nanocapsules, which correlates with the higher oil encapsulation efficiency found for zein-based capsules. Thus, this study shows that kafirin might be considered a hydrophobic wall material for the encapsulation of fish oil by electrospraying, although it prevented lipid oxidation to a lower extent when compared to zein.