Besides their best-known uses in the food and fermentation industry, yeasts have also found application as microcapsules. In the encapsulation process, exogenous and most typically hydrophobic compounds diffuse and end up being passively entrapped in the cell body, and can be released upon application of appropriate stimuli. Yeast cells can be employed either living or dead, intact, permeabilized, or even emptied of all their original cytoplasmic contents. The main selling points of this set of encapsulation technologies, which to date has predominantly targeted food and—to a lesser extent—pharmaceutical applications, are the low cost, biodegradability and biocompatibility of the capsules, coupled to their sustainable origin (e.g., spent yeast from brewing). This review aims to provide a broad overview of the different kinds of yeast-based microcapsules and of the main physico-chemical characteristics that control the encapsulation process and its efficiency.