In dilute aqueous solution and at room temperature, cis-4,7,10,13,16,19-docosahexaenoic acid (DHA) self-assembles into vesicles (self-closed bilayers), if the molar ratio of the neutral form of DHA to anionic DHA is kept between 1:1 and 1:3 (corresponding to a bulk pH between 8.5 and 9.2 for a system with 10 mM DHA). By using polycarbonate membrane extrusion, stable unilamellar DHA vesicles with an average diameter of 80 nm can be prepared at pH 8.8. Cryo-transmission electron microscopy indicates that the width of the DHA bilayers in the vesicles is clearly below twice the length of an extended DHA molecule, indicating a high conformational flexibility of DHA within the vesicle bilayer. These DHA bilayers have a similar thickness like bilayers of vesicles prepared at pH 8.5 from oleic acid (cis-9-octadecenoic acid). Using calcein as fluorescent reference compound, it is shown that water-soluble molecules can be encapsulated inside DHA vesicles which may make them interesting for medical or food applications.