SummaryAlgal oil emulsion gel candies were prepared by a cold‐set gelation method, and the oxidative stability was analysed. Then, the release of algal oil and the microstructural changes of gel candies were investigated under in vitro simulated digestion conditions. The formula of gel candy was found to be 65% sucrose, 5% algal oil emulsion, 1.8% sodium alginate, 1.2% high methoxy pectin and 2% D‐glucono‐δ‐lactone. Cold‐set gel candies loaded with algal oil emulsion had good oxidative stability. Emulsion gel candies could maintain a relatively intact gel network structure in a gastric fluid environment, in which the DHA release rate was less than 5%, whereas the gel structure was loosened at 30 min of digestion in simulated intestinal fluid and destroyed at 60 min, with a release rate of about 75%. Altogether, these results lay a theoretical foundation for facilitating the development of novel DHA functional foods.