Pyrazine spices are prone to loss during application and storage due to their low molecular weight and high volatility. This study utilised zein as the wall material to develop microcapsules containing 2,3‐diethyl‐5‐methylpyrazine (DEMP), aiming to investigate protective and controlled release capabilities. The microcapsules (zein@DEMP) were fabricated using the antisolvent method, with an optimised loading rate of 11.43%, as determined by response surface methodology. Scanning electron microscopy (SEM) revealed that the zein@DEMP microcapsules exhibited a well‐dispersed spherical structure, while transmission electron microscopy (TEM) indicated a core‐shell structure. Fourier transform infrared (FTIR) spectroscopy further confirmed the successful encapsulation of DEMP. At the same time, pyrolysis results showed that the DEMP could be released under heating without producing any significant harmful compounds. Additionally, heat release kinetics at varying rates exhibited a strong linear fit, and the release kinetic at 80°C followed a first‐order kinetic equation. Storage stability tests demonstrated a significant increase in DEMP retention after 30 days at room temperature. Furthermore, the zein@DEMP microcapsules displayed antioxidant properties. When incorporated into heat‐not‐burn (HNB) cigarettes at a concentration of 20 mg, the zein@DEMP microcapsules improved sensory evaluation. The transfer behaviour of DEMP was also examined. This study underscores the potential of microencapsulation technology in enhancing the thermal stability and sustained‐release characteristics of pyrazine spices.