Betanin is a natural pigment with a hydrophilic nature, a red color, and high antioxidant power but is unstable in the presence of heat and light and stable at pH values between 3 and 7. The present research aimed to microencapsulate betanin by complex coacervation using ultrasound-treated amaranth protein isolate (API-U) and sodium carboxymethyl cellulose (CMC) for application in edible gelatin films. The study of the formation of the wall material was carried out by zeta potential, turbidity, and isothermal titration calorimetry analysis. Betanin was encapsulated using the formation of a double emulsion in different core/wall ratios. Finally, the microcapsules were used to manufacture gelatin films. The results showed that API-U and CMC can form complexes at pH 3.0, through electrostatic attraction with high affinity. The encapsulation efficiency of betanin was high, ranging from 61 to 87%. The microcapsules protected betanin from thermal degradation (50 °C), increasing its half-life by approximately 2.92-fold. After gastrointestinal digestion, the bioaccessibility of encapsulated betanin was approximately 84%. Betanin microcapsules were added to edible gelatin films, which resulted in reduced light transmission and higher antioxidant activity (FRAP and ABTS+). The controlled release of antioxidants from the films was driven by diffusion and case II relaxation. Therefore, betanin-containing microcapsules formed by API-U/CMC complex coacervates can be used in the production of edible gelatin films with reduced light transmission and good antioxidant activity properties.