Docosahexaenoic acid (DHA), mainly found in microalgae and fish oil, is crucial for the growth and development of visual, neurological, and brain. In addition, DHA has been found to improve metabolic disorders associated with obesity and has anti-inflammatory, anti-obesity, and anti-adipogenesis effects. However, DHA applications in food are often limited due to its low water solubility, instability, and poor bioavailability. Therefore, delivery systems have been developed to enhance the remainder of DHA activity and increase DHA homeostasis and bioavailability. This review focused on the different DHA delivery systems and the in vitro and in vivo digestive characteristics. The research progress on cardiovascular diseases, diabetes, visual, neurological/brain, anti-obesity, anti-inflammatory, food applications, future trends, and the development potential of DHA delivery systems were also reviewed. DHA delivery systems could overcome the instability of DHA in gastrointestinal digestion, improve the bioavailability of DHA, and better play the role of its functionality.