In this study, sacha inchi oil (SIO) (Plukenetia volubilis L.) was microencapsulated via complex coacervation of ovalbumin (OVA) and sodium alginate (AL), and the microcapsule properties were characterized. The omega-3 content in the SIO was evaluated after in vitro gastric simulation and microencapsulation. The coacervate complex between OVA and AL was evaluated based on electrostatic interactions and developed for use as a wall material via the SIO microencapsulation process. The best mass ratio for the biopolymers (OVA:AL) was 4:1 at pH 3.8, and the complex exhibited a thermal resistance at 189.86 °C. The SIO microcapsules showed a high encapsulation efficiency of approximately 94.12% in the ratio (OVA:AL) of 1:1. Furthermore, microencapsulated SIO presented resistance under gastric conditions with a low release of acyl (ω-3) units. These results demonstrate that it is possible to use OVA:AL as encapsulating agents to protect bioactive compounds and to improve the thermal behavior of microcapsules.