Although cold-pressed sesame oil (CPSO) possesses high nutritional value, its application in the food industry is limited due to its poor oxidative stability. The aim of this study was to enhance the oxidative stability of CPSO by complex coacervation microcapsule technology with gelatin and gum Arabic as wall materials. The characterization of CPSO microcapsules were evaluated by a particle image analyzer, a laser particle size distribution analyzer, scanning electron microscopy (SEM), Fourier transform infrared spectroscopy (FTIR) and thermogravimetric analysis (TGA). The encapsulation efficiency (EE) reached 90.25%. The average particle size of the microcapsules was approximately 117.1 μm and many oil droplets were encapsulated by complex coacervation to form a multinuclear spherical microcapsule. The FTIR study confirmed that the process of complex coacervation was formed between gelatin and gum Arabic by electrostatic interactions. The TGA study suggested that the microcapsules had good heat resistance. The fatty acid composition, the content of sesamin, sesamolin and vitamin E in CPSO were determined before and after microencapsulation. It showed that the microencapsulation process had almost no effect on the fatty acid composition, sesamin and sesamolin, only Vitamin E was slightly lost during the microencapsulation process. The accelerated storage test showed that microencapsulation significantly increased the oxidative stability of CPSO.