The aim of this study was to microencapsulate an optimized extract of purple cactus pear fruit (Opuntia ficus indica), rich in phenolic compounds (PC), betacyanins (BC), and betaxanthins (BX), with antioxidant capacity (AC), by two methodologies: combined water-in-oil-in water double emulsions-spray drying (W/O/W-SP) and conventional spray drying, studying the effect of spray drying (SP) on PC and AC. Optimal extraction conditions for bioactive compounds were: 52 °C, for 30 min, using aqueous ethanol (40%) as the solvent, with a 0.85 desirability function, obtaining 17.39 ± 0.11 mg GAE/gdw (gallic acid equivalents per gram of dry weight) for PC, 0.35 mg BE/gdw (betanin equivalents per gram of dry weight) for BC, and 0.26 mg IE/gdw (indicaxanthin equivalents per gram of dry weight) for BX. The best combination of temperatures for conventional SP and W/O/W-SP was 160–80 °C obtaining the highest retention and encapsulation efficiencies for PC. For conventional SP, results were: 107% and 100% PC and AC retention efficiencies (RE-PC and RE-AC), respectively, with 97% of PC encapsulation efficiency (EE-PC), meanwhile for the W/O/W-SP results were: 78% and 103% RE-PC and RE-AC, respectively, with 70% of EE-PC. Microcapsules obtained with W/O/W-SP maintained their structure and integrity and showed a considerable reduction in globule size in the reconstituted W/O/W emulsions due to the spray drying stress. Despite having lower EE-PC than conventional SP, spray dried W/O/W emulsions seems to be a promising controlled-delivery vehicle for antioxidant compounds.