To improve the stability and flavor-release characteristics of mustard oil (MO), three kinds of MO microcapsules were prepared using the complex coacervation method, with beeswax (BW) as the oleogelator and sodium octenylsuccinate (OSA) combined with whey protein (WP), soy protein isolate (SPI), or chitosan (CS) as wall materials. Based on turbidity and zeta-potential measurements, the optimal pH values for OSA-WP, OSA-SPI, and OSA-CS complex coacervation are 4.2, 4.1, and 7.8, respectively, and the corresponding mixing ratios are 1:6, 1:4, and 1:2, respectively. The FT-IR spectra indicate that electrostatic interactions exist between OSA-WP molecules, forming complex coacervates. The same occurs for the OSA-SPI and OSA-CS molecules. The thermogravimetric analysis results show that the temperature at which rapid mass loss begins is higher for OSA-WP and OSA-SPI microcapsules than that for OSA microcapsules, and reaches up to 210 ℃. Furthermore, the maximum mass-loss temperature increases from 286 ℃ for OSA to 290 ℃ and 295 ℃ for OSA-WP and OSA-SPI microcapsules, respectively, indicating that the microcapsules formed effectively improved the thermal stability of MO. In addition, OSA-SPI microcapsules exhibit the best encapsulation performance, and the retention rate of allyl isothiocyanate increased by 24.78% compared with that of the OSA microcapsules on the 60th day. In this study, the complex coacervation method was used to improve the mechanical properties of microcapsule wall materials, so as to enhance the stability and flavor-release characteristics of the microcapsules. These findings are conducive to expanding the application scope of MO.