Egg yolk is well known for its excellent emulsifying property. In this article, egg yolk was used as the encapsulating matrix to prevent the oxidation of n-3 long-chain polyunsaturated fatty acids from fish oil. A 2 × 2 × 5 complete block design with three replications was used. Two levels of fish oil (1% and 5%) and two levels of esterification type (triglycerides or ethyl esters) of eicosapentaenoic/docosahexaenoic fatty acids were used. Time was considered a fixed factor with five levels. Emulsions were prepared by homogenization and stored for up to 4 weeks at 4–6 °C, with weekly sampling. Emulsions were analyzed for particle size and distribution, encapsulation efficiency, and surface oil. The oxidative stability of the emulsions was evaluated before and after cooking at 150–170 °C for 75 s. The addition of triglycerides resulted in a larger average particle size (234 ± 12.4 nm). All emulsions achieved 100% encapsulation efficiency and showed no significant change in the surface oil concentration during storage. After 4 weeks of storage, the concentration of eicosapentaenoic + docosahexaenoic fatty acids in nonencapsulated fish oil triglycerides and ethyl esters decreased by 20.32% and 14.74%, respectively, while the emulsions showed no significant differences. In addition, no peroxide or propanal formation was detected in raw emulsions over the storage period. Propanal formation was negligible in cooked samples, and the peroxide value showed no differences between the egg yolk control and the emulsions. Therefore, egg yolk was observed to be an efficient encapsulating food matrix that protects n-3 polyunsaturated fatty acids against oxidation and degradation.