This study investigated the potential of complex coacervates produced using Spirulina protein concentrate (SPC) conjugated with maltodextrin (MD) and carrageenan (CG) for encapsulating and delivering sensitive oils. A wet-heating Maillard reaction was employed to conjugate SPC with MD, followed by coacervation with CG to form the conjugate-based coacervates. Additionally, a mixture of unconjugated SPC and MD was coacervated with CG to produce mixture-based coacervates. Both types of coacervates were utilised as wall materials for encapsulating canola oil. The in-vitro digestion of the resulting microcapsules was assessed in oral, gastric, and intestinal phases, focusing on physicochemical parameters such as droplet size, zeta-potential, microstructure, proteolysis, oil release and lipolysis. The findings revealed that microcapsules prepared using both (SPC-MD mixture)-CG and (SPC-MD conjugate)-CG coacervates were remarkably stable against gastric digestion, as evidenced by the minimal production of free amino acids (15 mM). Most of the encapsulated oil (62–67%) was released during the intestinal phase due to the breakdown of the coacervates. Notably, the microcapsules produced with (SPC-MD conjugate)-CG coacervates demonstrated a lower degree of lipolysis (41.77% free fatty acid content) compared to those prepared with (SPC-MD mixture)-CG coacervates (53.35% free fatty acid content). These results highlight the potential of complex coacervates produced using conjugated SPC as promising materials for the encapsulation and delivery of sensitive oils.