At present, odorous emissions from wood products are the main leading cause of perceived discomfort in indoor environments. The source control is the most effective way to reduce odorous emissions. Herein, this study aims to investigate the impact of peppermint essential oil microcapsules on the unpleasant odor emissions from wax oil coated wood products. In this paper, peppermint essential oil microcapsules were added to wax oil to endow wax oil-coated wood with continuous fragrance release. The results showed that the microcapsules prepared by the complex coacervation method with gelatin and gum arabic as the wall materials and peppermint essential oil as the core material had significant fragrance slow-release ability and improved thermal stability. Adding microcapsules to wood wax oil at a mass ratio of 10% has no significant effect on the quality of the paint film, but the presence of amino groups in the wall material of the microcapsules causes a significant color change of the finished wood. The release of aromatic odors in wax oil-coated wood is significantly prolonged. The main odorant compounds released in the early stage were terpenes with herbal, woody and balsamic flavor characteristics. The odor compounds released at a later stage are mainly alkanes, and the odor is expressed as waxy, herbal and woody. The dispersion of microcapsules in wood wax oil leads to changes in the pore structure of the wood wax oil finish material, which provides multiple pathways for the slow release of odor compounds.