Lipid extract from shrimp cephalothorax is a potential food coloring owing to its intense red color. However, it presents some drawbacks, such as its characteristic odor, astaxanthin instability, and difficult dosage and manipulation. The present work is an attempt to overcome these problems by means of complex coacervation encapsulation using gelatin and gum arabic as wall materials. Round molecules in which the lipid extract was efficiently encapsulated in the form of multiple droplets were obtained. The resulting microcapsules stabilized by freeze-drying had good properties with a view to their application as food coloring, owing to their intense red color, improved astaxanthin stability, and low water activity, water solubility, and hygroscopicity. The coloring capacity and sensory properties were evaluated when added to yogurt and a gellified fish product. For yogurt, a trained sensory panel determined that encapsulation effectively reduced the characteristic odor, whereas the coloring capacity was improved, as compared to non-encapsulated lipid extract. For the gellified fish product, no sensory improvement was observed, but the encapsulated lipid extract provided an attractive, uniform color.