The physical properties and thermal stability of gelatin/gum-Arabic microcapsules loaded fish oil, developed by various encapsulation techniques such as directly spray-dried microcapsule, complex coacervation microcapsule, and double-encapsulated microcapsule (DEM) were investigated. All the particles dried by spray drying and evaluated by scanning electron microscopy (SEM), thermal analysis, cumulative release analysis, and rheological measurements. The external and internal core–shell structure of microcapsules observed by SEM, were beneficial to improving the thermal stability of particles. The DEM possessed stable two-shell structure, and retained 25.39% weight after thermogravimetric analysis, 93.71% encapsulation efficiency only released 11.8% core material in 100 °C water bath over 30 min, which could perform more stable during processing, transportation, and consumption. Above all, these results could be the basis of selecting suitable encapsulation technique, processing temperature, and time control in practical production when functional microcapsules needed.This article is aimed at characterize structures, relative physical properties and thermal stability of three types of microcapsules: directly spray-dried microcapsules, complex coacervation microcapsules, and double-encapsulated microcapsules, for encapsulating fish oil during processing and storage. Therefore, all the results such as encapsulation efficiency, loading capacity, surface oil, particle size, thermal stability, and fish oil cumulative release percentage of microcapsules at certain temperature could be used as guidance on practical functional foods production like selecting a suitable encapsulation approach, processing temperature, or time control.