The aim of this work was to encapsulate PUFA-rich oil by ultrasound emulsification followed by spray drying. mono- and double-layer emulsions stabilized by either whey protein concentrate (WPC) or WPC–pectin were obtained using an ultrasound probe. Maltodextrin and modified starch (HC) blends were used as wall materials. Four of the eight emulsions characterized presented high kinetic stability and were then spray-dried at 150 and 180 °C air inlet temperature: WPC-stabilized emulsions blended with 100% HC, 50% maltodextrin and 50% HC, or 75% maltodextrin and 25% HC; WPC–pectin-stabilized emulsion blended with 100% maltodextrin. The spray-dried microparticles presented a moisture content of 0.3% to 1.23%, water activity between 0.102 and 0.224, encapsulation efficiency ranging from 30% to 93%, and particle size between 8.67 and 16.72 µm. WPC-stabilized microparticles with 100% HC showed the highest encapsulation efficiency (89–93%) and the most efficient protection against oxidation. The use of mono-layer emulsions was sufficient to provide microparticles with the best features. Ultrasonic emulsification is an efficient technique for producing microparticles loaded with PUFA-rich oils.