Phycocyanin (PC) is a naturally active protein with extensive potential physiological functions. However, the poor stability and low bioavailability of PC have limited its development in nutraceuticals. Therefore, we developed an efficient microfluidic device to fabricate core-shell microcapsules for PC entrapment and colonic delivery. Microfluidics utilizes microchannels and fluid flow rates to shear mutually incompatible fluids to form dispersed emulsion droplets, providing an opportunity to investigate the structure and size of emulsions and precisely control the production of emulsion droplets. By introducing intermolecular interactions, PC was effectively immobilized in the cavity of the inner core sodium alginate (SA) gel, ensuring a high encapsulation efficiency of up to 98% for SA-E microcapsules. The release effects of microcapsules with different wall thicknesses were evaluated by simulating gastrointestinal juice digestion experiments. The results revealed that the microcapsules with 20–30 μm wall thickness were more stable and had superior release performance in gastrointestinal fluid compared with the microcapsules with 10 and 50 μm wall thickness. In addition, after the simulated digestion process in artificial gastrointestinal fluid, the PC embedded in SA-E microcapsules still remained the same structure and exhibited good antioxidant and immunomodulatory activities. The enhanced stability and bioavailability of PC suggested that SA-E microcapsules can be used for PC entrapment and colonic delivery.