Fat encapsulation by a protein-lactose matrix has been investigated all along the spray-drying process of fat-filled dairy powders. The matrix was made of micellar casein, whey proteins or heat-denatured whey proteins, alone or with amorphous lactose. Results showed that the presence of amorphous lactose was essential to emulsify and encapsulate fat: it could act as a hydrophilic protective agent, especially with heat-denatured whey proteins. With amorphous lactose, micellar casein and whey proteins were better emulsifiers than heat-denatured whey proteins with regard to the formation of fat droplet with smaller size however, only native whey proteins proved to be better encapsulating agents with regard to free fat and surface fat. Hence, whey proteins, when weakly heat-denatured, and in the presence of amorphous lactose, could be used as effective ingredients to encapsulate fat in dairy powders.