Diets microencapsulated with gelatin and ethyl cellulose for larval shrimp Penaeus japonicus were produced using a fluidized bed coating process. The two microencapsulated diets were within a broad size range. The size of the diet microencapsulated with ethyl cellulose was smaller than that of the diet microencapsulated with gelatin. Scanning electron microscopy micrographs showed that the microencapsulated diets had a dense film with a superior physical quality. Despite the less amount of wall material used, the diet microencapsulated with ethyl cellulose had a better performance with regard to lipid encapsulation efficiency and nitrogen retention efficiency compared with the diet microencapsulated with gelatin. Ten days after hatching, the mysis II larvae (P. japonicus) were fed two different microencapsulated diets for 20 days and grew significantly more than the control larvae fed with Artemia and shrimp flake. The growth and survival of the larvae confirmed that the microencapsulated diets had good digestibility. There were significant differences in growth and survival, trypsin activity, and amylase activity of the larvae between the two microencapsulated diet groups and the control (P < 0.05), but there was no significant difference in alkaline phosphatase activity in the larvae of each group (P > 0.05). There were significant differences in total length and trypsin activity of the larvae between the two microencapsulated diet groups (P < 0.05). The results showed that the larval digestive enzymes adapted to the feed composition, and the wall materials had no significant effect on the digestive enzymes activity of the larvae.