Abstract Microencapsulation of fish oil was achieved by spray drying the micro‐emulsion, in which skipjack roe protein hydrolysate (SRPH: degree of hydrolysis, 5%) was used as the wall material in the absence or presence of tannic acid (TA) or oxidized tannic acid (OTA). Microcapsule using SRPH had a lower encapsulation efficiency (EE) than those having sodium caseinate‐whey protein concentrate (Ca‐WPC) as the wall materials (p < 0.05). The incorporation of TA or OTA in combination with SRPH yielded spherical encapsulated fish oil with higher EE but lower particle size (p < 0.05) than achieved with SRPH alone. Furthermore, the addition of TA retarded lipid oxidation of microcapsule more effectively as indicated by lower peroxide value and thiobarbituric acid reactive substances (TBARS) value during storage at 30°C for 4 weeks, compared with those using only SRPH (p < 0.05). Nevertheless, OTA in conjunction with SRPH yielded the higher EE than TA. Therefore, SRPH could serve as an alternative wall material for microencapsulation of fish oil, especially with the aid of TA or OTA. Practical application: SRPH having 5% DH in the presence of TA as wall materials could be alternatively used to encapsulate fish oil. The use of SRPH‐TA could improve EE and oxidative stability of the obtained fish oil microcapsule. The fish oil microcapsule prepared using SRPH and TA could be incorporated in food products for increasing nutritive value. Additionally, the utilization of skipjack roe, which is a by‐product of the tuna canning industry, can be maximized. Scanning electron micrographs of fish oil microencapsules prepared using different wall materials. SRPH: Skipjack roe protein hydrolysate, TA: Tannic acid, OTA: Oxidized tannic acid, Ca‐WPC: Sodium caseinate‐whey protein concentrate. Magnification at 3,000×.