Encapsulation of flavor and aroma compounds has been largely explored in order to meet appraisal demands from consumers by improving the impact of flavor during the consumption of food products. Even though several techniques have been used for encapsulating volatile compounds, i.e., spray drying, fluidized bed coating, coacervation, and melt extrusion, those most frequently used in the food industry are spray drying and melt extrusion. In this article, the different techniques of encapsulation of flavors and fragrances in polymer-based matrices by extrusion are reviewed and partly re-defined, emphasizing the differences between the various techniques reported so far and the role of matrix types, additives, and operative conditions. Also, the role of water as a key parameter for controlled release and shelf stability of the delivery system will be discussed.