Essential oils exhibit antioxidant properties but are prone to oxidative degradation under environmental conditions, making their preservation crucial. Therefore, the purpose of this work was to evaluate the physicochemical properties of nanoencapsulated essential oils (EOs) extracted from the peel of sweet lemon, mandarin, lime, and orange using four formulations of wall materials consisting of gum arabic (GA), maltodextrin (MD), and casein (CAS). The results showed that EOs from sweet lemon, mandarin, lime, and orange showed higher solubility (79.5% to 93.5%) when encapsulated with GA/MD. Likewise, EOs from sweet lemon showed the highest phenolic content when using GA/CAS (228.27 mg GAE/g sample), and the encapsulated EOs of sweet lemon and mandarin with GA/MD/CAS (1709 and 1599 μmol TE/g) had higher antioxidant capacity. On the other hand, higher encapsulation efficiency was obtained in EOs of lime encapsulated with GA/MD (68.5%), and the nanoencapsulates of EOs from sweet lemon with GA/MD had higher D-limonene content (613 ng/mL). Using gum arabic and maltodextrin increased the encapsulation efficiency and D-limonene content in EO of sweet lemon. On the other hand, the formulations with casein were the most efficient wall materials for retaining D-limonene from the EOs of mandarin, lime, and orange.