Additive manufacturing (AM), for example, directed energy deposition (DED), may allow the processing of self-healing metal–matrix composites (SHMMCs). The sealing of cracks in these SHMMCs would be achieved via the melting of micro-encapsulated low melting point particulates (LMPPs), incorporated into the material during AM, by heat treatment of the part during service. Zn-Al alloys are good candidates to serve as LMPPs, for example, when the matrix of the MMC is made of an aluminum alloy. However, such powders should first be encapsulated by a thermal and diffusion barrier. Here, we propose a sol–gel process for encapsulation of a custom-made ZA-8 (Zn92Al8, wt.%) core powder in a ceramic alumina (Al2O3) shell. We first modify the surface of the ZA-8 powder with (12-phosphonododecyl)phosphonic acid (Di-PA) hydrophobic self-assembled monolayer (SAM) in order to prevent extensive hydrogen evolution and formation of non-uniform and porous oxide/hydroxide surface layers during the sol–gel process. Calcination for 1 h at 500 °C is found to be insufficient for complete boehmite-to-γ(Al2O3) phase transformation. Thermal stability tests in an air-atmosphere furnace at 600 °C for 1 h result in melting, distortion, and sintering into a brittle sponge (aggregate) of the as-atomized powder. In contrast, the core/shell powder is not sintered and preserves its spherical morphology, with no apparent “leaks” of the ZA-8 core alloy out of the ceramic encapsulation.