Self-emulsion improves solubility and bioavailability for γ-oryzanol/algae oil, and alginate beads can be used as controlled release carriers. In this study, self-emulsified alginate beads (SEABs) were prepared with different weight ratios of self-emulsion treatment (5%, 10%, 15%, 20%, and 30%) with alginate. We found that the microstructure with a surfactant of SEABs had a different appearance with alginate-based beads. The encapsulation of γ-oryzanol corresponded with the self-emulsion/alginate ratio, which was 98.93~60.20% with a different formulation of SEABs. During in vitro release, SEABs had the gastric protection of γ-oryzanol/algae oil, because γ-oryzanol and emulsion were not released in the simulated stomach fluid. When the SEABs were transferred to a simulation of the small intestine, they quickly began to swell and dissolve, releasing a higher content of the emulsion. We observed that the emulsion that formed had a bimodal distribution in the simulated intestinal fluid as a result of the hydrogel and emulsion droplets, leading to the formation of large aggregates. These results suggested that γ-oryzanol encapsulation within alginate beads via emulsification combined with gelation can serve as an effective controlled delivery system.