Modern microencapsulation techniques are employed to protect active molecules or substances such as vitamins, pigments, antimicrobials, and flavorings, among others, from the environment. Microencapsulation offers advantages such as facilitating handling and control of the release and solubilization of active substances, thus offering a great area for food science and processing development. For instance, the development of functional food products, fat reduction, sensory improvement, preservation, and other areas may involve the use of microcapsules in various food matrices such as meat products, dairy products, cereals, and fruits, as well as in their derivatives, with good results. The versatility of applications arises from the diversity of techniques and materials used in the process of microencapsulation. The objective of this review is to report the state of the art in the application and evaluation of microcapsules in various food matrices, as a one-microcapsule-core system may offer different results according to the medium in which it is used. The inclusion of microcapsules produces functional products that include probiotics and prebiotics, as well as antioxidants, fatty acids, and minerals. Our main finding was that the microencapsulation of polyphenolic extracts, bacteriocins, and other natural antimicrobials from various sources that inhibit microbial growth could be used for food preservation. Finally, in terms of sensory aspects, microcapsules that mimic fat can function as fat replacers, reducing the textural changes in the product as well as ensuring flavor stability.