The buttermilk was selected as a wall material to deliver the docosahexaenoic acid (DHA) in this current research, including algal oil encapsulating with pure buttermilk (BMO) and its mixture (buttermilk and maltodextrin (BMMO)). The results showed that the particle growth rate of BMO and BMMO was slower than that of commercial algal oil powders (CMOs) during simulated digestion in vitro. Moreover, in the Morris water maze experiment, the mice in BMO and BMMO groups took less time to find the platform compared to that in CMO group, and their DHA content in the brain was significantly higher. The immunoglobulin detection revealed that feeding BMO and BMMO could improve the immune function of rats. Therefore, buttermilk will be a potential wall material which are able to improve the digestion characteristics of algal oil and the DHA bioavailability, and these results also promote the value-added utilization of by-products in the dairy industry.