The development of new food products enriched with biologically active components is a topical issue for modern food science and practice. Many of these substances are unstable when being incorporated into the food matrix, which demands a study on the possibilities to stabilize them before use. Encapsulation of biologically active substances is a method which provides stability of the substance in the food product. The principles for implementing encapsulation of biologically active substances, especially natural oils, the matrices and the encapsulation methods are discussed in the present review. Data on the impact of key process parameters of encapsulation, the biological value of oils and the opportunities for application of the encapsulated systems in different groups of dairy products are presented.