Melon seed oil (MSO) possesses plenty of long-chain fatty acids (LFCAs, oleic–linoleic acid 90%), remarkable antioxidant activity (DPPH (0.37 ± 0.40 µmol TE/g), ABTS (4.98 ± 0.18 µmol TE/g), FRAP (0.99 ± 0.02 µmol TE/g), and CUPRAC (4.94 ± 0.11 µmol TE/g)), and phenolic content (70.14 ± 0.53 mg GAE/100 g). Encapsulation is a sound technology to provide thermal stability and controlled release attributes to functional compounds such as plant seed oil. Nano-sized and micro-sized capsules harboring MSO were generated by utilizing thin film dispersion, spray drying, and lyophilization strategies. Fourier infrared transform analysis (FTIR), scanning electron microscopy (SEM), and particle size analyses were used for the authentication and morphological characterization of the samples. Spray drying and lyophilization effectuated the formation of microscale capsules (2660 ± 14 nm, 3140 ± 12 nm, respectively), while liposomal encapsulation brought about the development of nano-capsules (282.30 ± 2.35 nm). Nano-liposomal systems displayed significant thermal stability compared to microcapsules. According to in vitro release studies, microcapsules started to release MSO in simulated salivary fluid (SSF) and this continued in gastric (SGF) and intestinal (SIF) environments. There was no oil release for nano-liposomes in SSF, while limited release was observed in SGF and the highest release was observed in SIF. The results showed that nano-liposomal systems featured MSO thermal stability and controlled the release attributes in the gastrointestinal system (GIS) tract.