Microencapsulation of bioactive substances is a common strategy for their protection and release rate control. The use of chitosan (Ch) is particularly promising due to its abundance, biocompatibility, and interaction with anionic surfactants to form complexes of different characteristics with relevance for use in microcapsule wall design. In this study, Ch/sodium dodecyl sulfate (SDS) microcapsules, without and with cross-linking agent (formaldehyde (FA) or glutaraldehyde (GA)), were obtained by the spray drying of vitamin E loaded oil-in-water emulsion. All of the microcapsules had good stability during the drying process. Depending on the composition, their product yield, moisture content, and encapsulation efficiency varied between 11–34%, 1.14–1.62%, and 94–126%, respectively. SEM and FTIR analysis results indicate that SDS as well as cross-linkers significantly affected the microcapsule wall properties. The profiles of in vitro vitamin E release from the investigated microcapsules fit with the Korsmeyer-Peppas model (r² > 0.9). The chemical structure of the anionic surfactant was found to have a significant effect on the vitamin E release mechanism. Ch/SDS coacervates may build a microcapsule wall without toxic crosslinkers. This enabled the combined diffusion/swelling based release mechanism of the encapsulated lipophilic substance, which can be considered favorable for utilization in food and pharmaceutical products.