Fermented milk products containing probiotics and prebiotics can be used in management, prevention and treatment of some important diseases (e.g., intestinal-and immune-associated diseases). Microencapsulation has been used as an efficient method for improving the viability of probiotics in fermented milks and gastrointestinal tract. Microencapsulation of probiotic bacterial cells provides shelter against adverse conditions during processing, storage and gastrointestinal passage. Important challenges in the field include survival of probiotics during microencapsulation, stability of microencapsulated probiotics in fermented milks, sensory quality of fermented milks with microencapsulated probiotics, and efficacy of microencapsulation to deliver probiotics and their controlled or targeted release in the gastrointestinal tract. This study reviews the current knowledge, and the future prospects and challenges of microencapsulation of probiotics used in fermented milk products. In addition, the influence of microencapsulation on probiotics viability and survival is reviewed.