Electrospraying consists of the generation of ultrafine particles through the application of an electric potential to a polymer solution under ambient temperature and pressure. Therefore, it can be used to encapsulate thermally sensitive compounds such as phycocyanin (PC), an important antioxidant. The aim of this work was to develop polymeric ultrafine particles for phycocyanin encapsulation through electrospraying. Ultrafine particles of polyvinyl alcohol (PVA)and PC with a mean diameter of 395 ± 71 nm were produced. Electrospraying resulted in high-efficiency phycocyanin encapsulation (75.1 ± 0.2 percent), proving to be an excellent method for coating this bioactive compound. In addition, the PC-PVA ultrafine particles showed thermal resistance to phycocyanin up to 216 °C and maintained their antioxidant activity. The results obtained in this work represent a relevant scientific contribution because they demonstrate the possibility, previously unreported in the literature, of using electrospraying as an alternative method to achieve phycocyanin encapsulation. In this way, high efficiency and reproducibility are obtained, and the bioactivity of the compound is maintained for possible future applications as a component in the formulation of novel foods.