In order to protect peroral β-galactosidase from being degraded and hydrolyse milk lactose efficiently in the environments of gastrointestinal tract, a double-capsule delivery system composed of enteric-coated capsule and polylactic acid (PLA) nanocapsules (NCs) was developed for encapsulation of β-galactosidase. β-galactosidase-loaded PLA NCs in the size range of 100–200 nm were prepared by a modified w1/o/w2 technique. During the encapsulation process, dichloromethane/ethyl acetate (1 : 1, v/v) as the solvent composition, high-pressure homogenisation (150 bar, 3 min) as the second emulsification method and polyvinyl alcohol or Poloxamer 188 as a stabiliser in the inner phase could efficiently improve the activity retention of β-galactosidase (>90%). Subsequently, the prepared NCs were freeze-dried and filled in a hydroxypropyl methylcellulose phthalate (HP55)-coated capsule. In vitro results revealed that the HP55-coated capsule remained intact in the simulated gastric fluid and efficiently protected the nested β-galactosidase from acidic denaturation. Under the simulated intestinal condition, the enteric coating dissolved rapidly and released the β-galactosidase-loaded PLA NCs, which exhibited greater stability against enzymatic degradation and higher hydrolysis ratio (∼100%) towards milk lactose than the free β-galactosidase. These results suggest that this double-capsule delivery system represents promising candidate for efficient lactose hydrolysis in the gastrointestinal tract.