Krill oil is effective in reducing blood lipid levels, particularly in individuals with severe hyperlipidemia. However, poor water insolubility and stability limited its usage. This study investigated a method for encapsulating Antarctic krill oil using alginate (ALG) and gelatin (GLN) to enhance its stability and bioactivity. The encapsulation efficiency, functional group integrity, swelling rate, and lipid-lowering activity were assessed. Results indicated that the optimal encapsulation conditions were identified with an ALG:GLN ratio of 2:1 (m/m), coagulation bath of 9% CaCl2, and a nozzle size of 750 μm, resulting in 69.34% encapsulation efficiency. Fourier-transform infrared spectroscopy confirmed successful encapsulation. The ALG-GLN shell materials enriched astaxanthin in krill oil and protected it from harsh gastric conditions, enabling targeted intestinal release. In a high-fat diet-induced rat model, krill oil microcapsules significantly reduced triglycerides (TG), total cholesterol (TC), and low-density lipoprotein-cholesterol (LDL-C) levels while increasing high-density lipoprotein-cholesterol (HDL-C) levels compared to unencapsulated krill oil. Additionally, the microcapsules elevated nitric oxide (NO) levels, enhanced superoxide dismutase (SOD) activity, and reduced malondialdehyde (MDA) levels, liver and perirenal fat weight. Therefore, encapsulating Antarctic krill oil in alginate-gelatin hydrogel offers a promising strategy for managing hyperlipidemia and associated metabolic disorders.