The aim of this study is to evaluate the feasibility of edible oils co-encapsulation with antioxidants in a natural protein matrix obtained using the spray-drying method, and to demonstrate the long-term stability of microparticles. Sunflower and flaxseed oils were encapsulated in pea protein isolate (PP) with a hydrophilic antioxidant, propyl gallate (PG), and a lipophilic antioxidant, α-tocopherol (α-T). Samples with encapsulated oil and the corresponding unencapsulated oil were then stored at 25 °C for up to 10 months (300 days) to monitor the long-term oxidative stability. The results demonstrated that microencapsulation, the addition of antioxidants, as well as the nature of the oil all affected the oxidative stability of oils. The addition of PG made it possible the increase in oil stability during the total storage period, whereas α-T had a pro-oxidant effect and induced the decrease in oil resistivity to oxidation. The positive effect of PG was more pronounced for short storage times (t < 100 days). Flaxseed oil, which is more sensitive to oxidation, showed slower oxidation kinetic after encapsulation compared to sunflower oil. The proposed encapsulation method may be an efficient approach for enhancing oxidative stability of edible oils for functional food powders.