Vanilla is one of the most popular species in the world. Its main compound, vanillin, is responsible for its characteristic aroma and flavor and its antioxidant and biological properties. Vanillin is very unstable in the presence of oxygen, light, and humidity, which complicates its use and preservation. Therefore, to solve this problem, this study aimed to develop vanilla oleoresin microcapsules. Vanilla oleoresin was obtained with supercritical carbon dioxide and microencapsulated by complex coacervation and subsequent spray drying (100 °C/60 °C inlet/outlet temperature). The optimal conditions for the complex coacervation process were 0.34% chitosan, 1.7% gum Arabic, 5.29 pH, and an oleoresin:wall material ratio of 1:2.5. Fourier Transform Infrared Spectroscopy (FT-IR) analysis of the coacervates before and after spray drying revealed the presence of the functional group C=N (associated with carbonyl groups of vanillin and amino groups of chitosan), indicating that microencapsulation by complex coacervation-spray drying was successful. The retention and encapsulation efficiencies were 84.89 ± 1.94% and 69.20 ± 1.79%. The microcapsules obtained from vanilla oleoresin had high vanillin concentration and the presence of other volatile compounds and essential fatty acids. All this improves the aroma and flavor of the product, increasing its consumption and application in various food matrices.