The crosslinking and drying method of microcapsules prepared by complex coacervation has been investigated in order to achieve a better control of the oxidative stability of the final powder product. Methyl oleate was microencapsulated with gelatin and gum arabic as wall materials. For improving the oxidative stability of microcapsules, the crosslinking and drying method was optimized in order to obtain a product with a stable and dense wall layer structure. The wall layer crosslinked by transglutaminase was found to be more thermostable than other food-grade crosslinking agents. Combined uses of different crosslinking agents had been carried out for microcapsules obtained by freeze drying, and the product crosslinked in turn by transglutaminase and tannic acid exhibited the relatively best oxidative stability measured by oxidation induction time. However, a new method of organic solvent replacement drying was found to be more suitable for drying microcapsules, since this method could achieve better oxidative stability than freeze or spray drying even by using transglutaminase or tannic acid alone as the crosslinking agent. The SEM graphs showed that this new drying method could avoid ice crystal formation and reduce the external force during the drying process, thus effectively reducing the occurrence of micro-holes in the wall layer and inhibiting the adhesion between the microcapsules. From the analysis of the secondary structure measurement, this new drying method could convert irregular structures into α-helical structures, hence enhancing the compactness of the wall layer structure. The organic solvent replacement drying method is an economical and environmental method with promising application prospects.