Antihypertensive peptide fraction from whey protein hydrolysate <3 kDa (measured as angiotensin-converting enzyme (ACE) activity %) was isolated and encapsulated into three composite materials: alginate–collagen, alginate Arabic gum, and alginate–gelatin. The release behavior of peptide fraction from capsules was analyzed according to the encapsulation material efficiency, the characteristics of the capsules, and the released antihypertensive peptides during gastrointestinal digestion. The highest encapsulation efficiency was found in capsules of alginate Arabic gum (95%). In this case, the released peptides incremented their ACE activity (85%) after the digestion process, with respect to the initial ACE activity (74%). Whey antihypertensive fraction revealed five peptide sequences; however, other amino acid sequences were released from digested capsules. Protein databases confirmed some antihypertensive sequences indicating the peptides content from β-Lg and α-La. Consequently, new peptides could be revealed from whey antihypertensive fraction.