Different encapsulating agents from agroindustrial waste were tested to encapsulate betalains from red pitaya for use as natural pigments. Mucilage, extracted from the fruit peel, and gelatin from nutraceutical capsules were tested in combination with maltodextrin, and the microencapsulation was done by the spray drying method. The powders were characterized by their physicochemical properties, encapsulation yield and efficiency, morphology, betalain content, and glass transition temperature. The storage stability and the application in a food model system were also evaluated. The capsules presented low moisture and water activity, which is adequate for their safety and application. The encapsulation yields (16–25%) obtained were due to the low solid contents presented, and the combination of both wall materials increased the betalains retention by 7% in relation to liquid extract. Results for efficiency of encapsulation (above 90%) and glass transition temperature (around 85 °C) were highly satisfactory, indicating that the compounds remain well protected inside the capsule and a good storage stability of the powders. The morphology image and the results of particle size prove the obtained microcapsules, and the powder with mucilage was highlighted in relation to its stability under the studied storage conditions, retaining more than 80% of the pigment in 50 days. The microcapsules when added in yogurts corroborate the stability results and indicate the great potential of mucilage as an encapsulating agent for the food industry.