Polyunsaturated omega-3 fatty acids (PUFAs), a functional component present in vegetable oils, are generally recognized as being beneficial to health. Omega-3 PUFAs are rich in double bonds and unsaturated in nature; this attribute makes them highly susceptible to lipid oxidation and unfit for incorporation into long shelf life foods. The microencapsulation of oils in a polymeric matrix (mainly polysaccharides) offers the possibility of controlled release of the lipophilic functional ingredient and can be useful for the supplementation of foods with PUFAs. The present paper provides a literature review of different vegetable sources of omega-3 fatty acids, the functional effects of omega-3 fatty acids, different microencapsulation methods that can possibly be used for the encapsulation of oils, the properties of vegetable oil microcapsules, the effect of encapsulation on oxidation stability and fatty acid composition of vegetable oils, and the incorporation of long-chain omega-3 polyunsaturated fatty acids in foods.