Yeast-derived microcapsules were employed to co-encapsulate a nano-emulsion adjuvant (MF59) and antigens, effectively addressing the limitations of MF59 adjuvant in direct antigen encapsulation and its capacity to induce cellular immunity. Yeast microcapsules (YCs) were prepared using strong acid and alkali treatments, resulting in a porous and hollow structure with enhanced adjuvant properties. Positively charged polycaprolactone-polyethyleneimine (PCL-PEI) modified MF59 nanoemulsions were produced, which allowed for electrostatic interaction-driven spontaneous deposition into YCs. This modification facilitated the adsorption of the antigen, chicken ovalbumin (OVA), forming the complex YC-MF59-OVA. YC-MF59-OVA was efficiently recognized and endocytosed by antigen-presenting cells (APCs), a process facilitated by the β-glucan present on the capsular shell. Simultaneously, YC-MF59-OVA enabled a sustained release of the antigen and promoted the recruitment of APCs at the site of inoculation, leading to enhanced activation of immune responses in mice. Specifically, YC-MF59-OVA significantly elevated serum levels of IgG, IgG1, and IgG2a antibodies, achieving concentrations that were two to three times higher than those observed in the group treated with free OVA. In addition, the cellular immune response was notably improved, as evidenced by increased frequencies of IFN-γ⁺CD8⁺ and IL-4⁺CD4⁺ T cells compared to the OVA-immunized group. Furthermore, there was a marked increase in the proportion of memory T cells (CD44⁺CD62L⁺) in the splenic tissues of treated animals. The animal experiment protocol was reviewed and approved by Institutional Animal Care and Use Committee of Zunyi Medical University (approval No. ZMU21-2407-169). These findings demonstrate that YC-MF59-OVA can elicit robust humoral and cellular immune responses, confirming that YC can significantly overcome the limitations of traditional nanoemulsion adjuvants. This study provides a promising reference for the development of advanced vaccine delivery systems.