The invention relates to an algal oil DHA (Docosahexaenoic Acid) microcapsule, which consists of algal oil DHA, an antioxidant and a shell material. The antioxidant is prepared from VC (Vitamin C) palmitate, lecithin, carnosic acid, VE (Vitamin E) grease and citric acid based on the mass ratio of (40-60):(25-35):(5-10):(3-7):1 sequentially, and the dose of the antioxidant is 0.6-1.2% of the mass of the algal oil DHA; the shell material is prepared from modified starch, Arabic gum, cane sugar, maltose and vitamin C-sodium based on the mass ratio of (10-30):(5-10):(1-5):(1-3):1 sequentially, and the dose of the shell material is 60-70% of the mass of the algal oil DHA. The invention further discloses a preparation method of the algal oil DHA. According to the invention, the oxidation of the algal oil DHA is effectively slowed down, odor smell is covered, the stability of products is increased and the effect duration is prolonged.