The aim of the study is to compare selected carbohydrates that differed in the glycaemic index: maltodextrin, three native starches (wheat, rice, maize), and two disaccharides (trehalose and lactose) used to encapsulation of model oil (in this case cold-pressed pumpkin oil). Encapsulation efficiency of pumpkin oil by spray drying, size of obtained capsules, oxidative stability of encapsulated oil, and retention of tocopherols, squalene, and sterols in surface and core material of capsules were determined. It was found that encapsulation efficiency varied from 35% for rice starch to 68–71% for wheat starch, maltodextrin, and lactose. The bulk density of capsules was independent of the used carbohydrate type (189–198 kg/m3), while their size was significantly lower for samples of pumpkin oil encapsulated in native starches (over 2 times compared to capsules with trehalose). Of the best lipid capturing agents (native wheat starch, maltodextrin, and lactose), wheat starch mainly bound tocopherols, squalene, and sterols to the capsule surface, while lactose to the core material of the capsules (35.5–81.2%). Among tested carbohydrates, native wheat starch acted as the best antioxidant agent (oxidative stability was 15.1 h vs. 9.4 h for pure pumpkin oil).