A low melting fraction of milk fat (LMF), with a dropping point (MDP) of 16.7 °C, was encapsulated by freeze-drying emulsions formulated with trehalose or its blends with 30 wt% lactose or sucrose as hydrophilic phase, and with a mixed of 50 wt% of the palmitic sucrose esters (SE) β-170 and β-1670 as emulsifiers. Trehalose or trehalose/sucrose matrices were very efficient to encapsulate LMF (retention values were 82.8%± 3.2% and 90.5%± 3.7%, dry basis, respectively), whereas trehalose/lactose showed a significant decline in initial retention (42.5%± 2.5%, dry basis). The role of emulsion stability, water content, physical state of the matrix, and particle size distribution on LMF loss was investigated by following retention of LMF with time for the powders stored at water activities (aw) of 0.11, 0.33, 0.44, 0.54, and 0.76. Trehalose emulsion was the most stable. However, encapsulation efficiency was higher for the trehalose/sucrose blend. Despite the high initial degree of crystallization, retention with time for the trehalose matrix was very high at all aw. The trehalose/lactose blend had a low efficiency to encapsulate LMF, especially at aw of 0.54 and 0.76. Retention was determined by the counteracting effects of all these factors and was more closely related to structural changes of the encapsulating matrix than to the physical state (amorphous or crystalline) of it.