Long chain polyunsaturated omega-3 fatty acids (PUFAs), namely eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA), are important functional ingredients due to their well-documented health benefits, but highly susceptible to oxidation. One of the most promising approaches to preserve bioactives is their encapsulation within protective matrices. In this paper, an innovative high throughput encapsulation technique termed as emulsion electrospraying assisted by pressurized gas (EAPG) was used to encapsulate at room temperature nanodroplets of algae oil into two food hydrocolloids, whey protein concentrate and maltodextrin. Spherical encapsulating particles with sizes around 5 µm were obtained, where the oil was homogeneously distributed in nanometric cavities with sizes below 300 nm. Peroxide values under 5 meq/kg, demonstrated that the oil did not suffer from oxidation during the encapsulation process carried out at room temperature. An accelerated stability assay against oxidation under strong UV light was performed to check the protective capacity of the different encapsulating materials. While particles made from whey protein concentrate showed good oxidative stability, particles made from maltodextrin were more susceptible to secondary oxidation, as determined by a methodology put forward in this study based on ATR-FTIR spectroscopy. Further organoleptic testing performed with the encapsulates in a model food product, i.e., milk powder, suggested that the lowest organoleptic impact was seen for the encapsulates made from whey protein concentrate. The obtained results demonstrate the potential of the EAPG technology using whey protein concentrate as the encapsulating matrix, for the stabilization of sensitive bioactive compounds.