The aim of this study was to evaluate the effect of spray-drying parameters on the physicochemical properties of encapsulated sea buckthorn berry oil. Different carriers (gum arabic, β-cyclodextrin, and their mixture (1:1,w/w)), inlet air temperatures (120, 150, and 180 °C), and carrier-to-oil ratios (2, 3, and 4,w/w) were evaluated. The obtained powders were characterized in terms of the product yield (36.79–64.60%), encapsulation efficiency (73.08–93.18%), moisture content (0.23–3.70%), hygroscopicity (1.5–7.06 g/100 g), solubility (19.55–74.70%), bulk density (0.25–0.44 g/L), total carotenoid content (mg/100 g dm), and antioxidant capacity (871.83–1454.39 μmol TE/100 g dm). All physicochemical properties were significantly affected by the carrier-to-oil ratio and inlet air temperature. Higher carrier-to-oil ratios increased the product yield, encapsulation efficiency, solubility, and bulk density and decreased the powder hygroscopicity. Elevating the drying temperatures during spray drying also increased the product yield, encapsulation efficiency, and solubility, while it decreased the powder moisture content, total carotenoid content, and antioxidant capacity. Based on the physicochemical properties, the use of β-cyclodextrin as a carrier, a drying temperature of 120 °C, and a carrier-to-oil ratio of 4 were selected as optimal conditions for the production of sea buckthorn berry oil powder. The obtained powder is a valuable material for a wide range of applications in the food and nutraceutical industries.