Microencapsulation is a rapidly expanding technology which is a unique way to package materials in the form of micro- and nano-particles, and has been well developed and accepted within the pharmaceutical, chemical, food and many other industries. Spray drying is the most commonly used encapsulation technique for food products. A successful spray drying encapsulation relies on achieving high retention of the core materials especially volatiles and minimum amounts of the surface oil on the powder particles for both volatiles and non-volatiles during the process and storage. The properties of wall and core materials and the prepared emulsion along with the drying process conditions will influence the efficiency and retention of core compounds. This review highlights the new developments in spray drying microencapsulation of food oils and flavours with an emphasis on the encapsulation efficiency during the process and different factors which can affect the efficiency of spray drying encapsulation.