The aim of this study was to investigate the influence of encapsulation on the storage stability of oil extracted by supercritical carbon dioxide from a micronized durum wheat bran fraction. Wheat bran oil was encapsulated in 2% (w/v) sodium alginate beads. Encapsulated and unencapsulated oil samples were stored at 4 or 25 °C, in daylight or darkness, over 90 days, and, at defined time points, subjected to stability evaluation based on fatty acid hydroperoxide production and tocopherol (α, β, and γ forms), tocotrienol (α, β, and γ forms) and carotenoid (lutein, zeaxanthin, and β-carotene) degradation. The encapsulation of the oil into alginate beads significantly increased stability, optimally when stored at 4 °C, maintaining high levels of isoprenoids and low content of fatty acid hydroperoxides over 30 days of storage.