Gallic acid–Antarctic krill peptides (GA-AKP) nanocapsules (GA-AKP-Ns) were prepared using a dual delivery system with complex emulsion as the technical method, a high-pressure microjet as the technical means, polylactic acid–hydroxyacetic acid (PLGA) as the drug delivery vehicle, and GA-AKP as the raw material for delivery. This study aimed to investigate the effects of microjet treatment and the concentration of PLGA on the physicochemical properties and stability of the emulsion. Under optimal conditions, the physicochemical properties and hypoglycemic function of nano-microcapsules prepared after lyophilization by the solvent evaporation method were analyzed. Through the microjet treatment, the particle size of the emulsion was reduced, the stability of the emulsion was improved, and the encapsulation rate of GA-AKP was increased. The PLGA at low concentrations decreased the particle size of the emulsion, while PLGA at high concentrations enhanced the encapsulation efficiency of the emulsion. Additionally, favorable results were obtained for emulsion preparation through high-pressure microjet treatment. After three treatment cycles with a PLGA concentration of 20 mg/mL and a microjet pressure of 150 MPa (manometric pressure), the emulsion displayed the smallest particle size (285.1 ± 3.0 nm), the highest encapsulation rates of GA (71.5%) and AKP (85.2%), and optimal physical stability. GA-AKP was uniformly embedded in capsules, which can be slowly released in in vitro environments, and effectively inhibited α-amylase, α-glucosidase, and DPP-IV at different storage temperatures. This study demonstrated that PLGA as a carrier combined with microjet technology can produce excellent microcapsules, especially nano-microcapsules, and these microcapsules effectively improve the bioavailability and effectiveness of bioactive ingredients.