Fragrances are ubiquitously and extensively used in everyday life and several industrial applications, including perfumes, textiles, laundry formulations, hygiene household products, and food products. However, the intrinsic volatility of these small organic molecules leaves them particularly susceptible to fast depletion from a product or from the surface they have been applied to. Encapsulation is a very effective method to limit the loss of fragrance during their use and to sustain their release. This review gives an overview of the different materials and techniques used for the encapsulation of fragrances, scents, and aromas, as well as the methods used to characterize the resulting encapsulation systems, with a particular focus on cyclodextrins, polymer microcapsules, inorganic microcapsules, block copolymer micelles, and polymersomes for fragrance encapsulation, sustained release, and controlled release.