Bovine and caprine caseins were cross-linked with microbial transglutaminase (mTG). The mTG-cross-linked bovine or caprine casein dispersion, mixed with 14.5% maltodextrin (DE = 40), was used to prepare emulsions with 10.5% algae oil. Oxidative stability of emulsions was evaluated by peroxide values (PVs) and anisidine values. Adding liposoluble rosemary extract rich in carnosic acid and δ-tocopherol lowered the formation of hydroperoxides and their subsequent decomposition products in emulsions. Emulsions stabilised with liposoluble rosemary extract rich in carnosic acid and δ-tocopherol were spray-dried at 180/95 °C. Algae oil microencapsulated with mTG-cross-linked bovine casein reduced PV by ≈ 34%, while the algae oil microencapsulated with mTG-cross-linked caprine casein with low levels of αs1-casein reduced PV by ≈ 42% at 4 weeks of storage at 30 °C. The investigation suggests that liposoluble rosemary extract rich in carnosic acid and δ-tocopherol effectively protected algae oil during the coating process with mTG-cross-linked bovine and caprine caseins. The above results clearly indicated that the choice of milk caseins (bovine vs. caprine) cross-linked with mTG impacts the oxidative stability of spray-dried algae oil emulsions (microcapsules) enriched with n-3 fatty acids.