This review highlights the issues referring to spray drying of oil-in-water emulsions that are stabilized by milk proteins. Discussed were the role of emulsion components (sugars and milk proteins) in forming a matrix of particles during the spray drying process, and described were those properties of powdered emulsions that were associated with the powder form (wettability, flowability, caking susceptibility). Presented were the data on the micro-encapsulation efficiency of lipids, free fat on the surface of dry particles, as well as on the reproduction of parent emulsion after the reconstitution of powder in water from the point of view of the composition of emulsion that underwent spray-drying. Milk proteins play mainly the role of an emulsion stabilizing colloid, whereas sugars play the role of filler when a solid powder matrix is being formed. Compared to whey proteins, caseins and caseinians show a higher thermal stability and better surface properties; therefore, they provide a better stability of dried emulsions. Glassy structures of low-molecular-weight sugars that form because water is quickly removed during drying constitute an effective wall matrix, which guarantees efficient encapsulation with the possible lowest content of free fat on the surface of particles.