This study investigated the effect of the oxidation degrees of oxidized konjac glucomannan (OKGM) on the encapsulation efficiency (EE), physicochemical and in vitro digestive properties of soy protein isolate (SPI)-based microcapsules walnut oil using experimental and computational approaches. Microcapsules had the highest EE when the ratio of OKGM and SPI to oil was 2.5:1. With increasing the oxidation degree of OKGM, the EE of microcapsules was increased and the hygroscopicity was decreased. Molecular dynamics simulation results showed that SPI/oil/highly OKGM had relatively low binding energy (−4.03 × 106 kJ/mol) and strong electrostatic interactions, which may contribute to a higher EE and lower hygroscopicity of microcapsules, respectively. The oxidative stability of the oil was markedly improved by SPI and OKGM, and microcapsules prepared with SPI and highly OKGM had the highest in vitro digestion. This study provided theoretical support for broadening the application of microcapsules prepared with SPI and OKGM.