SummaryGinsenosides was microencapsulated using heat‐induced polymerised whey protein as wall material. The entrapment yield was 95.46 ± 1.95% and release rates were about 20% and 100% in gastric and intestine juices, respectively. Microencapsulated ginsenosides (0.03% ginsenosides, w/v) were used for fermented milk formulation. Samples with microencapsulated ginsenosides had much higher acceptability compared with those with ginsenoside extract (P < 0.01). Addition of microencapsulated ginsenosides significantly decreased the syneresis of the sample (P < 0.01). The probiotics remained above 106 CFU mL−1 during the first 6 weeks, and no significant difference was observed in probiotics population during 10‐week storage for all samples. SEM micrograph revealed that addition of microcapsules did not change the structure of the samples considerably. The polymerised whey protein‐based microencapsulation might be an effective technique to deliver ginsenosides to small intestine through stomach. It also masked bitter taste and improved the colour of the fermented milks containing ginsenosides.