Vegetable oils rich in polyunsaturated fatty acids are a valuable component of the human diet. Properly composed oil blends are characterized by a 5:1 ratio of ω6/ω3 fatty acids, which is favorable from a nutritional point of view. Unfortunately, their composition makes them difficult to use in food production, as they are susceptible to oxidation and are often characterized by a strong smell. Encapsulation in yeast cells is a possible solution to these problems. This paper is a report on the use of native and autolyzed yeast in the encapsulation of oils. The fatty acid profile, encapsulation efficiency, morphology of the capsules obtained, and thermal behavior were assessed. Fourier transform infrared analysis and low-field nuclear magnetic resonance relaxation time measurements were also performed. The process of yeast autolysis changed the structure of the yeast cell membranes and improved the loading capacity. Lower encapsulation yield was recorded for capsules made from native yeast; the autolysis process significantly increased the value of this parameter. It was observed that NY-based YBMCs are characterized by a high degree of aggregation, which may adversely affect their stability. The average size of the AY capsules for each of the three oil blends was two times smaller than the NY-based capsules. The encapsulation of oils in yeast cells, especially those subjected to the autolysis process, ensured better oxidative stability, as determined by DSC, compared to fresh blends of vegetable oils. From LF NMR analysis of the relaxation times, it was shown that the encapsulation process affects both spin-lattice T1 and spin-spin T2* relaxation times. The T1 time values of the YBMCs decreased relative to the yeast empty cells, and the T2* time was significantly extended. On the basis of the obtained results, it has been proven that highly unsaturated oils can be used as an ingredient in the preparation of functional food via protection through yeast cell encapsulation.