Anchovy oil was selectively partially hydrolysed at 30% and 60% using Thermomyces lanuginosus lipase (TL 100L) to produce EPA and DHA concentrates. These concentrates were subsequently microencapsulated into “multi-core” microcapsules using complex coacervation. Microcapsules produced from these concentrates were significantly more stable than those produced from unconcentrated anchovy oil, even though the concentrated oils themselves were significantly less stable than anchovy oil. Morphological and physicochemical analysis indicated that the microcapsule from concentrates exhibits significantly smoother surfaces and improved mechanical strength in addition to enhanced oxidative stability compared to the microcapsules fabricated from native anchovy oil.