Commercial DHA-rich algal oil has some issues, such as an unpleasant odor and susceptibility to oxidation. The main fishy odor compounds in commercial DHA-rich algal oil powder and DHA-rich algal oil microcapsules are hexanal and (E, E)-2,4-heptadienal. To address this issue, a microencapsulation process was designed for DHA-rich algal oil using infant rice powder (IRP), maltodextrin (MD), and whey protein concentrate (WPC) as wall materials, with sodium starch octenyl succinate (SSOS) and monoacylglycerol (MAC) as emulsifiers. The spray-drying method was used for microencapsulation. The experimental data showed that microcapsules with wall materials in a ratio of IRP/MD/WPC = 1:3:1 and an emulsifier content of 3.5% (SSOS and MAC) had the highest encapsulation efficiency (85.20 ± 6.03%) and the lowest aldehyde content (65.38 ± 3.23%). This microcapsule showed a good appearance and better oxidation stability compared with the crude oil, with a water content and average particle size of 1.69 ± 0.57% and 631.60 ± 23.19 nm, respectively. The results indicated that DHA-rich algal oil microcapsules prepared with infant rice powder had a lower fishy odor and better sensory acceptability compared to commercial DHA-rich algal oil powder.