Flavours and fragrances are volatile compounds of large interest for different applications. Due to their high tendency of evaporation and, in most cases, poor chemical stability, these compounds need to be encapsulated for handling and industrial processing. Encapsulation, indeed, resulted in being effective at overcoming the main concerns related to volatile compound manipulation, and several industrial products contain flavours and fragrances in an encapsulated form for the final usage of customers. Although several organic or inorganic materials have been investigated for the production of coated micro- or nanosystems intended for the encapsulation of fragrances and flavours, polymeric coating, leading to the formation of micro- or nanocapsules with a core-shell architecture, as well as a molecular inclusion complexation with cyclodextrins, are still the most used. The present review aims to summarise the recent literature about the encapsulation of fragrances and flavours into polymeric micro- or nanocapsules or inclusion complexes with cyclodextrins, with a focus on methods for micro/nanoencapsulation and applications in the different technological fields, including the textile, cosmetic, food and paper industries.