Abstract: Unsaturated fatty acids (UFAs) play a fundamental role in maintaining human health and serve as an important raw material for functional foods. However, UFAs are prone to oxidization during processing and storage, leading to deterioration. Microencapsulation of UFAs is an effective processing method to minimize oxidation and enhance its stability. In this paper, the physiological functions of UFAs and their applications in food, medicine, and other fields are summarized. The research progress of microencapsulation technology of UFAs is systematically reviewed, aiming to provide a theoretical basis and rationale for their applications in the food industry. Research has shown that the wall materials widely used were mainly proteins and carbohydrates, whereas their combination can overcome their disadvantages. Spray drying, freeze drying, molecular encapsulation, and coacervation method are most commonly used in the fabrication of microencapsulated UFAs. Using various wall materials and fabrication methods leads to very different encapsulation efficiency, which also greatly impacts the stability of UFAs during processing and storage. Hence, it is still necessary to select appropriate materials and methods according to the properties and functions of the food products. Microencapsulated UFAs exhibited slow-release properties and improved physiological functions. Therefore, it may have broad applications and excellent future development prospects in the food industry.