Sodium caseinate and acetylated wheat starch were combined at different mass ratios and used as wall materials to microencapsulate capsaicin. The morphological, structural and physicochemical properties of the prepared capsaicin-loaded emulsion and spray-dried microcapsules were investigated. Additionally, the stability of capsaicin microcapsules to various storage light and temperature conditions was evaluated. Combined sodium caseinate and acetylated wheat starch exhibited good emulsifying properties compared with single-wall material. Additionally, the highest microencapsulation efficiency of 84.05% was achieved when sodium caseinate and wheat starch acetate were combined at a mass ratio of 3:7. The capsaicin microcapsule exhibited a spherical shape and the size was not uniform, while the colour and dispersion of the particles were homogeneous. The capsaicin microcapsules displayed solubility in the range of 77.88%–97.64%. Furthermore, more than 60% of the microencapsulated capsaicin was retained after 15 days of storage at various light and temperature conditions. The principle component analysis demonstrated that a combination of sodium caseinate and wheat starch acetate is effective for microencapsulating capsaicin and promoting its applications.