Spray-drying is the most popular encapsulation method used for the stabilization and protection of biologically active compounds from various environmental conditions, such as oxidation, moisture, pH, and temperature. Spray-drying increases the bioavailability of the natural active compounds and improves the solubility of low-soluble compounds. The aim of this work was to study the effects of different wall materials and optimize wall material solution’s composition on physicochemical properties of microcapsules loaded with phenolics, extract rich in volatile compounds and essential oil from Elsholtzia ciliata herb. For encapsulation of elsholtzia and dehydroelsholtzia ketones, more suitable wall materials were used—beta-cyclodextrin and sodium caseinate. Four phenolics—sodium caseinate, skim milk, beta-cyclodextrin, and resistant-maltodextrin—were used. A D-optimal mixture composition design was used to evaluate the effect of wall material solution’s composition using sodium caseinate (0.5–1 g), skim milk (6–10 g), resistant-maltodextrin (8–12 g), and beta-cyclodextrin (0.5–1 g) for the encapsulation efficiency, drying yield, and physicochemical properties. The optimal mixture composition was 0.54 g of sodium caseinate, 10 g of skim milk, 8.96 g of resistant-maltodextrin, and 0.5 g of beta-cyclodextrin. These encapsulating agents had a good performance in the microencapsulation of E. ciliata ethanolic extracts by the spray-drying technique. It is proven that the produced microparticles have a good potential to be included in various pharmaceutical forms or food supplements.