The objective of this study was to develop chia oil oleogel microcapsules by spray-drying Pickering emulsions (OLG/W–E) stabilized with lupin protein aggregates (LPA), optimize spray-drying conditions, and evaluate the effect of wall composition on encapsulation efficiency (EE) and in vitro lipid digestion. Oleogels structured with beeswax (BW) and shellac wax (SW) at 2.5 and 5.0% (w/w) were characterized for oil-binding capacity (OBC) and firmness. OLG/W–E were formulated, and spray drying was optimized using a Taguchi design considering inlet air temperature (120 and 160 °C), emulsion type (OLG_SW/W–E and OLG_BW/W–E), and wall material (maltodextrin, MD, and gum arabic, GA). Increasing wax concentration to 5% enhanced OBC and firmness, while 3% LPA provided adequate stability. The optimal condition was achieved at 160 °C using a BW-structured oleogel and GA, yielding an EE of 71.3 ± 1.25%. Under optimized conditions, replacing GA with up to 1% (w/w) sodium alginate (SA) did not significantly affect moisture content, solubility, process yield, or EE (p > 0.05). However, SA significantly increased lipid digestion (p < 0.05), with FFA release increasing from 26.4 ± 3.23% for GA microcapsules to 44.8 ± 6.33% and 43.4 ± 0.30% for GA/SA–0.5% and GA/SA–1.0%, respectively. These results indicate that SA can modulate lipid digestion during gastrointestinal digestion while maintaining comparable physicochemical properties.