In the area of food production, macro, micro and nanocapsules with polymer walls have been developed. Nanocapsules offer huge advantages, extends the time in the gastrointestinal tract and thus the bioavailability of the encapsulated compound. Electrospray is a low-cost and easily reproducible electrohydrodynamic technique in which a conductor liquid, subjected to the controlled action of an electric field, generates complex structures at a nanometric scale. Coaxial electrospray has been used for the encapsulation of different products: the exterior liquid will form the wall of the capsule and the active compound (in the internal liquid) will be released due to the degradation of the wall. In this study, the coaxial electrospray parameters were standardized (voltage, concentration, flow and distance) in order to encapsulate the extra-virgin olive oil. A biodegradable polymer was used for the capsule wall. The characterization was carried out by means of scanning electron microscopy and atomic force microscopy in which nanocapsules with an average diameter below 100 nm were observed. The nanocapsules were submerged in a solution similar to body fluids and in a saliva-like solution in order to quantitatively verify the oil release and the profile thereof by means of UV-Vis spectrophotometry. This technique opens possibilities in the food industry with regards to generating nanocapsules that can be used to improve the stability and the texture of food or to enable the controlled released of food ingredients or nutraceuticals.