Artemisia absinthium L. is a medicinal plant well known for the bitterness of its sesquiterpenoids. To mask its intense taste while preserving these active compounds, an ethanolic extract (AAE) was prepared, and two microencapsulation techniques (spray drying and ionotropic gelation) were investigated under different process conditions. The best-performing formulation was selected for larger-scale production and a characterisation of the microparticles (MPs) was carried out. MPs were then incorporated into baked products (biscuits), which were subsequently characterised for proximate composition, total phenolic content (TPC) and antioxidant activity (AA). Bitter compounds were quantified through HPLC-DAD. A panel test was conducted on 50 volunteers, which compiled a satisfactory questionnaire. Ionotropic gelation proved to be the most suitable technique for producing AAE alginate-based MPs for incorporation into biscuit dough, yielding a product with a desirable particle size and flowability. The biscuits still retained a significant amount of TPC and AA, indicating that microencapsulation is a suitable strategy. Data from the acceptance questionnaire revealed that biscuits containing MPs loaded with absinthin-rich extract were comparable to the control ones regarding overall acceptance. In conclusion, a promising product was developed that effectively masks the bitterness of appetite-modulating bioactive compounds, with significant health-promoting potential. However, further investigation into the biological effects (e.g., hormonal responses, feelings of hunger, etc.) of these baked products is required.