The technique of encapsulating different materials into matrices that can both protect and release their contents under specific circumstances is known as encapsulation. It serves the primary function of shielding delicate components from outside influences, including heat, light, and humidity. This can be accomplished by a variety of procedures that, depending on the method and materials selected, result in the creation of particles with various structures. The materials used for encapsulation in food applications must be of high quality, acceptable for human consumption, and stable during processing and storage. The most suitable natural polymers for food applications are carbohydrates, proteins, or mixtures thereof. Volatile oils are end products of plant metabolism, accumulated and stored in various plant organs, cells, or secretory tissues. These are natural and are characterized by the scent of the aromatic plants they come from. Because of their antibacterial and antioxidant qualities, they are being utilized more and more in the food and pharmaceutical industries. Since volatile oils are highly sensitive to environmental changes, they must be stored under specific conditions after being extracted from a variety of plant sources. A promising method for increasing the applicability of volatile oils is their encapsulation into colloidal particles by natural polymers such as carbohydrates and proteins. Encapsulation hides the unfavorable taste of nutrients while shielding delicate dietary ingredients from the effects of heat, moisture, oxygen, and pH. This technique results in improved stability for volatile oils that are often sensitive to environmental factors and offers the possibility of using them in an aqueous system even if they are insoluble in water. This paper aims to provide an overview of the current advances in volatile oil encapsulation technologies and presents a variety of natural polymers used in the food industry for encapsulation. Also, a distinct section is created to highlight the current advances in dairy products enriched with encapsulated volatile oils.