Spray drying technique was adopted in this study to prepare astaxanthin ester microcapsules with four different wall materials (Arabic gum, inulin, chitosan and fucoidan), which were characterized for encapsulation efficiency, flowability and other physicochemical indexes. Scanning electron microscopy (SEM) was adopted to observe their microstructure, and their thermal stability at different temperatures was evaluated. Finally, the effects of the four wall materials on the bioavailability of astaxanthin in Institute of Cancer Research (ICR) mice were explored. The results showed that the highest encapsulation efficiency of (96.64 ± 0.33)% was obtained when using Arabic gum as wall material. SEM showed that both inulin and fucoidan microcapsules were nearly spherical in morphology with the most complete structure. Astaxanthin ester-fucoidan microcapsules had the best thermal stability with an activation energy of 74.06 kJ/mol, followed by inulin-astaxanthin ester microcapsules. The thermal stability was significantly correlated with the micromorphology but poorly correlated with the encapsulation efficiency. Animal experiments indicated that compared with inulin and Arabic gum, use of chitosan and fucoidan as wall material resulted in significantly higher bioavailability of microencapsulated astaxanthin, evidencing that the promoting effect of microencapsulation on astaxanthin ester bioavailability was closely related to the type of wall material. To sum up, fucoidan-astaxanthin ester microcapsules were the best in terms of stability and bioavailability. This study provides the theoretical basis and data support for the construction of high-quality polysaccharide-based microcapsules loaded with astaxanthin ester.