Encapsulation is used in various industries to protect active molecules and control the release of the encapsulated materials. One of the structures that can be obtained using coextrusion encapsulation methods is the core–shell capsule. This review focuses on coextrusion encapsulation applications for the preservation of oils and essential oils, probiotics, and other bioactives. This technology isolates actives from the external environment, enhances their stability, and allows their controlled release. Coextrusion offers a valuable means of preserving active molecules by reducing oxidation processes, limiting the evaporation of volatile compounds, isolating some nutrients or drugs with undesired taste, or stabilizing probiotics to increase their shelf life. Being environmentally friendly, coextrusion offers significant application opportunities for the pharmaceutical, food, and agriculture sectors.