Purple corn anthocyanins are important natural colourants with cheap prices and rich bioactivities. However, their stability is limited. Microencapsulation is an effective way to improve anthocyanin stability and the influence of the type of wall material on the stability of encapsulated anthocyanin is very important. In this study, maltodextrin (MD) and its combination with whey protein isolate (WPI) or gum arabic (GA) were utilised as wall materials to obtain encapsulated purple corn anthocyanins (PCAs) (MD–PCA, MD–WPI–PCA, MD–GA–PCA) using spray drying. The effect of the amount of the wall material was determined by encapsulation efficiency, anthocyanin content, and colour. On this basis, the effects of the types of wall materials on the physicochemical characteristics, storage, and digestion stabilities of encapsulated PCA, as well as their stabilities in chewing tablets, were investigated. The highest encapsulation efficiency, suitable colour, and anthocyanin content were obtained with the mass ratios 1:1 PCA to MD, 2:3 PCA to MD–GA, and 1:1 PCA to MD–WPI. Microencapsulation increased PCA storage and digestion stabilities. All three types of PCA microcapsules had low water content and hygroscopicity and good water solubility. MD–PCA had the strongest stability when stored at 25 °C; MD–GA–PCA—when stored at 40 °C, or in the presence of 5000 Lux light illumination; MD–WPI–PCA—when stored in 75% relative humidity or during gastric–intestinal digestion, but its resistance to 40 °C temperature and light illumination was lower than those for the two others. When used in chewing tablets, MD encapsulation was most stable in the presence of Ca2+, VC, or Fe2+and improved PCA digestion stability. In conclusion, MD is a good choice for PCA encapsulation in regular conditions. MD–GA and MD–WPI can be used when considering high storage temperature (or light illumination) and high humidity (or for high digestion stability), respectively. The results of this study provide a reference for the storage and application of PCA.