Thanks to their nutritional, healthy and sensory attributes, walnuts are raw materials of great interest for the agri-food sector. Nevertheless, a prolonged shelf-life is a fundamental requirement for promoting their industrial use. Rapid onset of rancidity can be avoided by adding preservative compounds and/or by applying stabilization processes able to make the fat component less prone to oxidation. The aim of this study was to evaluate the effect exerted by the addition of natural antioxidants (from grape skin) and/or by the application of an encapsulation technique on walnut paste. With the purpose of using them in bakery products, the developed formulations were subjected to thermal stress and used as ingredients in biscuits preparation: the impact of each treatment on fat fraction stability and antioxidant capacity was therefore assessed. In detail, walnut paste was obtained by roasting and grinding of kernels. An aliquot was enriched with 5000 ppm (w/w) grape skin extract in powder form. Both formulations were then encapsulated through a freeze-drying method, using maltodextrin DE12 and tragacanth gum as well materials. The chemical and oxidative analyses were performed on samples just after preparation, on the ones exposed to thermal stress (for 15 min at 180 °C) and on biscuits (baked at 180 °C for 15 min) that included just prepared samples. The results showed that the just prepared walnut paste supplemented with grape skin extract exhibited a greater antioxidant capacity, that was, however, reduced by heat treatment. Encapsulation procedure decreased the antioxidant capacity with a less evident effect on compounds revealed by FRAP and ORAC tests. The nutritional profile of just baked biscuits (intended as antioxidant capacity, phenolic profile, and tocopherol content) was not statistically influenced by the different formulations. In terms of induction period, encapsulated samples (and related biscuits) displayed higher values: the encapsulation process seemed to exert a barrier effect against oxidative agents and to protect the antioxidant properties of the grape skin extract, increasing the stability of both pasta and biscuits. In conclusion, recipe inclusion of encapsulated samples in just baked biscuits did not exert any benefits, neither in terms of oxidative stability, nor in terms of antioxidant properties. However, maltodextrins and gums, used as wall materials in the encapsulated samples, could help preserve the whole matrix prolonging the shelf-life of baking products containing them.