The secondary structure of whey protein concentrate hydrolysate (WPCH), used as an emulsifier in oil delivery systems, was investigated using Synchrotron Radiation Circular Dichroism (SRCD). The effect of pH on the conformation of peptides in solution and adsorbed at the oil/water interface, as well as the thermal stability of the systems was studied. Furthermore, oil-loaded microcapsules were produced by spray-drying or electrospraying to investigate the influence of encapsulating agents (glucose syrup, maltodextrin) and drying technique on the secondary structure of WPCH at the oil/water interface. Enzymatic hydrolysis resulted in peptides with a highly unordered structure (∼60% turns and unordered regions) in solution. However, WPCH adsorption onto the oil/water interface increased the α-helical content resulting in an improved thermal stability. The encapsulating agents and spray-drying process did not modify the conformation of WPCH at the oil/water interface. Nonetheless, electrospraying affected the SRCD spectra obtained for WPCH adsorbed at the oil/water interface.