Capsaicin was microencapsulated in six different wall systems by spray drying whey protein and citrate mung bean starch at various ratios (10:0, 9:1, 7:3, 5:5, 3:7, 1:9, 0:10) to improve its stability and water solubility and reduce its pungency. The morphological, rheological, storage stability, and physicochemical properties of capsaicin emulsion and capsaicin microcapsules were characterized. As a result, the yield of six capsaicin microcapsules was 19.63–74.99%, the encapsulation efficiency was 26.59–94.18%, the solubility was 65.97–96.32%, the moisture content was lower than 3.63% in all systems, and particle size was broadly distributed in the range of 1–60 μm. Furthermore, microcapsules with high whey protein content in the encapsulation system had an excellent emulsifier effect and wetness, smooth particle surface, and higher lightness (L*). Moreover, the system formed by composite wall materials at a ratio of whey protein to citrate mung bean starch of 7:3 had the highest retention rate and the best stability. The overall results demonstrate that whey protein combined with citrate mung starch through spray drying could be a promising strategy to produce microcapsules of poorly water-soluble compounds such as capsaicin.