Vanillin flavour is highly volatile in nature and due to that application in food incorporation is limited; hence microencapsulation of vanillin is an ideal technique to increase its stability and functionality. In this study, vanillin was microencapsulated for the first time by non-thermal spray–freeze-drying (SFD) technique and its stability was compared with other conventional techniques such as spray drying (SD) and freeze-drying (FD). Different wall materials like β-cyclodextrin (β-cyd), whey protein isolate (WPI) and combinations of these wall materials (β-cyd + WPI) were used to encapsulate vanillin. SFD microencapsulated vanillin with WPI showed spherical shape with numerous fine pores on the surface, which in turn exhibited good rehydration ability. On the other hand, SD powder depicted spherical shape without pores and FD encapsulated powder yielded larger particle sizes with flaky structure. FTIR analysis confirmed that there was no interaction between vanillin and wall materials. Moreover, spray–freeze-dried vanillin + WPI sample exhibited better thermal stability than spray dried and freeze-dried microencapsulated samples.