Abstract: In the field of functional foods, the demand for the synergistic effects of multiple active substances was driven the development of co-encapsulation technology. This technology encapsulates two or more components in the same microcapsule, protecting the core materials while constructing a co-encapsulation system with synergistic functions, effectively enhancing the stability of the components, masking off-flavors, and improving bioavailability. This article systematically reviews the preparation methods of co-encapsulated microcapsules, such as emulsification, complex coacervation, and spray drying. The emulsification method was simple to operate, but the particle size of the emulsion after homogenization was uneven, making it difficult to control in industrial production. Complex coacervation had mild processing conditions, but the toxicity of organic curing agents limits its application in food. Spray drying was suitable for industrial production but may damage heat-sensitive components. In addition, this article also discusses the advantages and disadvantages of different wall material types, as well as the research progress in the application of co-encapsulation systems for active ingredients (vitamins, lipids, polyphenols, and probiotics). Currently, this field faces challenges such as improving preparation efficiency, optimizing drug loading, ensuring the stability of large-scale production, and analyzing the mechanism of synergistic effects of active substances. In the future, it is necessary to further optimize the preparation process and wall material formula, deeply explore the interaction mechanism of active substances, and promote their industrial application through human verification. This review provides a theoretical basis and practical guidance for the design of multifunctional microcapsules and the efficient delivery of active food ingredients.