An anthocyanin-rich blue maize waste product was used for anthocyanin extraction. To preserve bioactive phenolic compounds, a spray-drying technique was employed using conventional wall material maltodextrin (MD), with novel one, hydroxypropyl-β-cyclodextrin (HPBCD). The obtained spray-dried maize extract (SME) and microencapsulates were analyzed based on physicochemical powder properties, chemical analysis, antioxidant activity, and digestibility. The examined microencapsulates demonstrated good powder properties, exhibited a high powder yield (up to 83%), and had a low moisture content (less than 5%). HPBCD and MD + HPBCD combinations demonstrated superior powder properties in the terms of decreasing the time necessary for rehydration (133.25 and 153.8 s, respectively). The mean average particle diameter ranged from 4.72 to 21.33 µm. DSC analyses signified high powder thermal stability, around 200 °C, related to the increasing preservation with biopolymer addition. The total phenolic and anthocyanin compounds ranged from 30,622 to 32,211 mg CE/kg (CE—catechin equivalents) and from 9642 to 12,182 mg CGE/kg (CGE—cyanidin 3-glucoside equivalents), respectively, associated with good bioactive compound protection. Microencapsulates with both carriers (15% MD and 15% HPBCD) had the highest digestibility (73.63%). Our results indicated that the microencapsulates created with the active ingredient and the wall materials (MD and HPBCD) could protect phenolic compounds/anthocyanins against ABTS radicals (63.53 and 62.47 mmol Trolox Eq/kg, respectively).