In this study, it was aimed to investigate the effect of different coating materials on the microencapsulation of hempseed oil by spray drying. For this purpose, hempseed oil emulsions were prepared with skimmed milk powder (SMP), maltodextrin (MD), and whey protein concentrate (WPC). The properties of these emulsions including rheological, zeta potential, and physicochemical properties were analyzed. Then, hempseed oil microcapsules were produced using spray drying. The effect of the different coating materials on spray-dried hempseed oil capsules was evaluated in terms of microencapsulation yield, surface oil, microencapsulation efficiency, oxidation stability, and physicochemical properties. The combinations of SMP (50.58%) or WPC (56.21%) with MD significantly enhanced the microencapsulation yield. The highest microencapsulation efficiency (92.16%) was obtained in the microcapsule with SMP: MD. This microcapsule with SMP: MD also showed higher oxidative stability compared to other microcapsules. Besides, this combination (SMP: MD) effectively protected the hempseed oil against oxidation during the Schaal oven test. Additionally, spray-dried hempseed oil microcapsules were characterized using FT-IR, TGA, and SEM. It was determined that using MD as a coating material improved the thermal stability of the microcapsules. As a result, it was concluded that the SMP: MD as a coating material was suitable for the microencapsulation of hempseed oil.