This research studied the formation of complex coacervates formed by carboxymethylcellulose (CMC) and lactoferrin (Lf) as wall materials for encapsulation of β-carotene present in sacha inchi oil (SIO). According to zeta-potential and turbidimetric analyses, the optimum conditions for the formation of CMC:Lf complex coacervates were pH 5.0 and a 1:14 ratio. Isothermal titration calorimetry showed that the complexes were formed in two stages: first, the interaction was driven by electrostatic attraction, and second, electrostatic and other interactions (such as hydrogen bonding) or structural conformations were present. The capsules formed with CMC:Lf complex coacervates had a spherical appearance with a well-defined core and were able to encapsulate 97% of SIO. The presence of SIO, CMC, and Lf in the capsules was confirmed by Fourier transform infrared analysis. The in vitro gastrointestinal digestion of capsules showed that 84.31% of β-carotene present in SIO was released in the intestine, with high bioaccessibility (67%). Additionally, Fickian diffusion was the mechanism observed for β-carotene release in the food model. Thus, it is possible to conclude that CMC:Lf complex coacervates are good wall material for encapsulating and protecting β-carotene for food fortification.