In this work, a new encapsulating matrix, alginate–goats’ milk–inulin, was used to encapsulate Bifidobacterium animalis subsp. lactis BB‐12. The addition of inulin resulted in capsules with a compact structure, and a higher probiotic cell count under simulated gastrointestinal conditions and in probiotic goats’ milk yoghurt during refrigerated storage. Encapsulation of the probiotic bacteria led to slower post‐acidification yoghurts. The results of this study showed that the alginate–goats’ milk–inulin matrix has potential to be used as a new encapsulation material to encapsulate probiotics for use in goats’ milk‐based probiotic fermented dairy products, avoiding the cross‐contamination caused by using capsules based on cows’ milk.