Fucoxanthin has excellent antioxidant and anti-inflammatory activities, but its strong hydrophobicity leads to poor stability and low bioavailability. To improve its delivery efficiency and digestive stability, this study used extracellular vesicles from Phaeodactylum tricornutum as the carrier, and constructed a nano-delivery system of Fucoxanthin by modifying with triphenyl phosphate. The process optimization, structural characterization, and in vitro digestive behavior studies were carried out. Through single-factor and response surface analysis, the optimal preparation conditions were determined as a Fucoxanthin concentration of 108 μg mL-1, a mass ratio of Fucoxanthin to triphenyl phosphate of 1.7, an ultracentrifugation time of 97 min, and an ultracentrifugation speed of 108,000 r min-1. Under these conditions, the particle size of the nano-system was approximately 140 nm, the encapsulation rate and transmittance were 82.13% and 86.44% respectively, and the deviation between the predicted value and the measured value was less than 5%, indicating that the process is stable and has good repeatability. The in vitro simulated digestion results showed that the delivery system was limited in release in the gastric segment, but significantly enhanced in the intestinal and colonic segments, significantly superior to free Fucoxanthin and unmodified systems. In summary, the functionalized nano-delivery system constructed based on extracellular vesicles of Phaeodactylum tricornutum can effectively improve the stability and staged release characteristics of Fucoxanthin, providing a theoretical basis and technical reference for the oral delivery of hydrophobic active substances and the high-value utilization of microalgae resources.