Lactic acid bacteria (LAB) are added to different food products for a long time due to health beneficial effects on human host. LAB is applied in dairy products, such as yoghurt, cheese, and various fermented products, and also in non-dairy products, such as sausages. However, reaching the human gut alive as well as in a sufficient cell amount to exert positive health effects is still a big challenge, due to LAB sensitive character and vulnerability against harsh and detrimental conditions in human digestive system. Keeping physiological activity of sensitive LAB strains alive is for the formulation of novel food products with a probiotic health claim of utmost interest, thus microencapsulation has been applied and investigated as a promising technique for a good and reliable protection. Microencapsulation allows reduced cell injury or cell loss by retaining cells within the encapsulating membrane and can be enforced by spray-drying, emulsion, extrusion, and a range of other technologies in combination with an appropriate coating material, such as alginate, chitosan, and mixture of these two polymers. In this review, established and well-studied microencapsulation techniques with their favored coating materials, as well as the recent applications of microencapsulated LAB into dairy products will be discussed.