Sacha inchi oil contains about 82 percent of polyunsaturated fatty acids (PUFA) making this oil very vulnerable to oxidation. Therefore, microencapsulation could be used as a technique to improve the oxidative stability of this oil. Microencapsulation is a process of building a functional barrier between the core and wall material to maintain the functional and physicochemical properties of the core materials. Microencapsulation enhances the oxidative stability, thermostability and shelf-life of oils. Emulsification, spray drying and freeze drying techniques are frequently used in microencapsulation of oils. Maltodextrin, modified starch and sodium caseinate are the common wall materials used in microencapsulation of oils. The choice of an appropriate microencapsulation technique and wall material depends upon the end use of the product and the processing conditions involved. Most studies reported that the microencapsulated oils are usually produced in powder form. General analyses conducted to determine the quality and stability of microencapsulated oils are moisture content, water activity, particle size, surface oil, encapsulation efficiency, viscosity, peroxide value, oxidative stability and microcapsule morphology. In addition, microencapsulated vegetable oils have been applied in food formulations such as butter and soup. This review presents information on the chemical composition of vegetable oils including Sacha inchi, flaxseed, chia seed and palm oil. This review also described the common wall materials used in oil microencapsulation, microencapsulation techniques, common analysis of microencapsulated oils in order to determine its quality and the application of microencapsulated oils in the food industry.