In this work, urea-formaldehyde (UF) microcapsules loaded with tung oil were prepared by in-situ polymerization. The mean diameter of the obtained microcapsules was 8.5 μm. The self-healing coating was prepared by the addition of 5 wt.% microcapsules into an epoxy matrix and then painted on the AA2024 substrate. The effect on the coating properties after the incorporation of microcapsules was investigated by adhesion tests and electrochemical impedance spectroscopy (EIS). It is found that 5 wt.% microcapsules in coating formulations did not impart a significant negative effect on coating properties. SEM and EIS tests were used to evaluate the self-healing effect. According to the fitting results of the EIS data on the scratched samples, the new film that formed by the polymerization of tung oil at the scratched area in the self-healing coating displays a resistance value of more than 106 Ω·cm2, which is much higher than 103 Ω·cm2 of the oxide layer in the neat epoxy coating. The neutral salt spray tests also confirm the good anti-corrosion performance of the self-healing coating.