Horseradish contains many bioactive compounds with antioxidant activity. The current study aimed to evaluate the effect of various wall materials and their ratios on the physical properties and bioactive-compound retention and stability in microencapsulated horseradish leaf and root juices. Horseradish juice was microencapsulated using maltodextrin, maltodextrin/gum Arabic, soy protein isolate, and starch with three different core-to-wall ratios. The total phenolic, total flavonoid, total flavan-3-ol, and total phenolic-acid contents, as well as antioxidant activity, were determined using spectrophotometric methods, whereas individual phenol profiles were determined by high-performance liquid chromatography (HPLC). Multivariate analysis of variance showed that plant material, wall material, and core-to-wall ratio had a significant effect on the bioactive-compound retention and antioxidant-activity preservation. Microcapsules produced from horseradish leaf juice had a significantly higher content of phenolic compounds and antioxidant activity compared to root-juice microcapsules. However, better retention was observed for microencapsulated horseradish root juice. Maltodextrin and maltodextrin/gum Arabic were the most effective wall materials for the retention of bioactive compounds, while they also had a smaller particle size and better solubility. The horseradish-juice microcapsules possess a high content of rutin. The highest stability of bioactive compounds after storage was found at a core-to-wall ratio of 20:80.