The microencapsulation of bioactive compounds is a widely used technology in the food industry to protect and enhance the functionality of bioactive ingredients such as vitamins, antioxidants, probiotics, and essential fatty acids. This process involves encapsulating bioactive particles in a matrix, usually made of natural or synthetic polymers, forming microcapsules that improve the compounds’ stability, controlled release, and bioavailability. Among the most commonly used techniques are spray-drying, coacervation, and extrusion, chosen based on the properties of the compound to be encapsulated and the desired applications. During food processing and storage, these technologies protect sensitive compounds from adverse factors such as oxidation, moisture, light, or extreme pH. Microencapsulation allows for the controlled release of bioactive compounds at the right time and place, improving their effectiveness in the body, an essential property in functional foods and nutraceuticals. This review aimed to analyze the microencapsulation techniques used in the food industry to protect and improve the functionality of bioactive compounds such as vitamins, antioxidants, probiotics, and essential fatty acids.