In addition to being used in food, fuel, and lubricants, vegetable oils are promising in many other applications such as food additives, nutritional supplements, cosmetics, and biomedicine; however, their low oxidative stability can limit their use. Microencapsulation is a well-established methodology for the preservation of oils against degradation, controlled release of active ingredients, protection against external factors during storage, and enhanced durability. In this article, microencapsulation methods for vegetable oils are reviewed, including physical methods (spray drying and freeze-drying), physical-chemical methods (complex coacervation, ionic gelation and electrostatic layer-by-layer deposition), and chemical methods (interfacial/in situ polymerization). This article also provides information on the principles, parameters, advantages, disadvantages, and applications of these methods.