Polyunsaturated fatty acids (PUFAs) play an important role in promoting brain development, decreasing the incidence of cardiovascular diseases, and reducing inflammation. However, PUFAs are inherently unstable and susceptible to oxidative deterioration due to two or more double bonds in their structure. Delivery systems have been developed to provide effective encapsulation and protection for PUFAs, and finally fulfill their health benefits. Emulsion-based encapsulation is one of the most promising techniques for the delivery of PUFAs. The emulsion composition and structure, as well as the storage conditions are regarded as key factors to influence the stability of emulsions. To maximize the resistance of PUFAs in emulsions against oxidation, emulsion structure design has been particularly highlighted, and different methods for tailoring emulsion structure have been developed. The current work is focused on the careful design of emulsion structure to improve the oxidative stability of PUFAs. Different types of emulsions, including conventional emulsions, multilayer emulsions, gelled emulsions, and Pickering emulsions are introduced, and their protective effect for PUFAs are discussed. The major role of interfacial structure in emulsions is emphasized. The effects of emulsifiers and involved modification methods on the interfacial structure are presented to further improve the stability of PUFAs during storage.