The consumption of probiotics has been associated with a wide range of health benefits for consumers. Products containing probiotics need to have effective delivery of the microorganisms for their consumption to translate into benefits to the consumer. In the last few years, the microencapsulation of probiotic microorganisms has gained interest as a method to improve the delivery of probiotics in the host as well as extending the shelf life of probiotic-containing products. The microencapsulation of probiotics presents several aspects to be considered, such as the type of probiotic microorganisms, the methods of encapsulation, and the coating materials. The aim of this review is to present an updated overview of the most recent and common coating materials used for the microencapsulation of probiotics, as well as the involved techniques and the results of research studies, providing a useful knowledge basis to identify challenges, opportunities, and future trends around coating materials involved in the probiotic microencapsulation.