To improve the viability of probiotics during food storage and gastrointestinal digestion, this study developed solid microcapsules co-loaded with probiotics and wheat germ oil using W1/O/W2 emulsion pre-encapsulation, followed by spray drying (SD), freeze drying (FD) and spray freeze drying (SFD), respectively. The effects of drying methods and wall materials on the microstructure, physicochemical properties, storage stability, and gastrointestinal tolerability were highlighted. Firstly, all samples showed high encapsulation efficiency for probiotics (86%–99.2%) and wheat germ oil (72%–85%), low moisture content (2.8%–5.3%) and hygroscopicity (6.3%–11.6%), and wall materials exhibited structural stability during the drying process. The results of viable cell counts indicated that SFD caused more damage to bacterial cells than the other two drying methods, as evidenced by the total death of encapsulated probiotics within 90 days. In contrast, SD and FD encapsulated probiotics remained at 8.8–9.9 log CFU/g after 150 days of storage at 4 °C and 25 °C. Furthermore, the viability of probiotics in the co-encapsulated and pectin-added microcapsules was significantly enhanced in storage stability and simulated gastrointestinal digestion tests. Based on the above results, it was suggested that the co-encapsulation strategy of combining the W1/O/W2 structure and SD or FD to prepare microencapsulated powders can obtain probiotic products with high activity and high stability. Meanwhile, composite wall material (whey protein isolate and pectin) could enhance probiotics' protective effect and colonic targeted release behavior. In conclusion, the current research provides a valuable reference for the application of probiotics and functional oils in the food industry.