Being a natural active substance with a wide variety of sources, easy access, significant curative effect, and high safety, active peptides have gradually become one of the new research directions in food, medicine, agriculture, and other fields in recent years. The technology associated with active peptides is constantly evolving. There are obvious difficulties in the preservation, delivery, and slow release of exposed peptides. Microencapsulation technology can effectively solve these difficulties and improve the utilization rate of active peptides. In this paper, the commonly used materials for embedding active peptides (natural polymer materials, modified polymer materials, and synthetic polymer materials) and embedding technologies are reviewed, with emphasis on four new technologies (microfluidics, microjets, layer-by-layer self-assembly, and yeast cells). Compared with natural materials, modified materials and synthetic polymer materials show higher embedding rates and mechanical strength. The new technology improves the preparation efficiency and embedding rate of microencapsulated peptides and makes the microencapsulated particle size tend to be controllable. In addition, the current application of peptide microcapsules in different fields was also introduced. Selecting active peptides with different functions, using appropriate materials and efficient preparation technology to achieve targeted delivery and slow release of active peptides in the application system, will become the focus of future research.