The incorporation of omega-3 polyunsaturated fatty acids into confectionery products is constrained by their susceptibility to oxidative degradation and the presence of off-flavor compounds. This study aimed to evaluate the effect of fish oil (cod liver) microencapsulation, using whey protein isolate (WPI) and maltodextrin (MD) as wall materials, on the volatile compound profile and physicochemical properties of dark chocolate. Three formulations were prepared: (1) a plain chocolate control, (2) chocolate fortified with free fish oil, and (3) chocolate fortified with microencapsulated fish oil, each providing an equivalent fish oil concentration of 8.33 g/100 g. Physicochemical characterization included moisture content, water activity, color (CIELab), and viscosity of chocolate samples, as well as complete characterization of the microcapsule powder (encapsulation efficiency and peroxide value). Volatiles were analyzed by headspace solid-phase microextraction coupled to gas chromatography–mass spectrometry (HS-SPME–GC–MS). Results showed that encapsulation efficiency was 76.19%, with a surface oil fraction of 5.48%, and a peroxide value of 2.93 meq O₂/kg. Incorporation of the microcapsules significantly increased chocolate moisture content (from 4.16 to 16.05%) and melt viscosity (from 3,621.5 to 6,040.5 mPa·s), while free fish oil reduced the viscosity of the chocolate (2,031.5 mPa·s). GC-MS analysis identified a cluster of eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA) oxidation markers, including decanal, undecanal, 2-pentylfuran, two lactone species, and thiophene-2-decyl, that were present in the free fish oil chocolate but absent or substantially reduced in the microencapsulated formulation. Nonanal, a secondary lipid oxidation aldehyde, was reduced by approximately 37.5% in the microencapsulated treatment. Taken together, the data provide evidence that WPI-MD microencapsulation attenuates the release of characteristic fish-oil oxidation volatiles in dark chocolate, while simultaneously introducing physicochemical challenges, particularly elevated moisture and viscosity, that would require formulation optimization prior to commercialization.