A Roselle extract was used in spray-drying encapsulation with three different wall materials (soy protein isolate, gelatin, and β-cyclodextrin) and combinations of those. The encapsulation efficiency, thermal stability, and microstructural evaluation of the encapsulated powder were further analyzed. The results showed that the encapsulation efficiency of gelatin, β-cyclodextrin, and soy protein isolate for purified roselle anthocyanins was 73.99 ± 2.66%, 89.75 ± 0.14%, and 98.51 ± 0.45%. The encapsulation efficiency of anthocyanins by the composite wall materials (β-cyclodextrin+gelatin, β-cyclodextrin + soy protein isolate, and soy protein isolate+gelatin) could reach above 99%. The microcapsules with β-cyclodextrin and soy protein isolate exhibited the smoothest curves of Fourier transform infrared spectroscopy within the characteristic peak of anthocyanins. The microcapsules containing gelatin have a surface structure with the least obvious holes or gaps and showed optimum thermal behavior. Novelty impact statement: The pairwise combination of soy protein isolate, gelatin, and β-cyclodextrin as carriers of purified roselle anthocyanins yielded high encapsulation efficiency of over 99% The addition of β-cyclodextrin prevented the self-aggregation of proteins, making the encapsulation efficiency of composite wall materials higher than that of single-wall materials. The β-turn of the heated protein was enhanced during the formation of the microcapsules. This change made the wall material combine more tightly.