In the present study, the preparation of nanocapsules using the coaxial electrospraying method was investigated. Poly(styrene-co-acrylonitrile) (SAN) was used as a shell material and coconut-oil-based alkyd resin (CAR) as a core. Chemical structure, thermal stability, and morphology of nanocapsules were characterized by Fourier transform infrared (FTIR) spectroscopy, thermal gravimetric analysis (TGA), and field emission scanning electron microscopy (FE-SEM), respectively. In addition, the formation of the core–shell structure was approved by transmission electron microscopy (TEM) and FE-SEM micrographs of the fractured nanocapsules. Furthermore, differential scanning calorimetry tests (DSC) were carried out to investigate the reactivity of released healing agents from the nanocapsules. The prepared nanocapsules were then incorporated into the epoxy resins and applied on the surfaces of the steel panels. The effect of capsule incorporation on the properties of the coating was evaluated. The self-healing performance of the coatings in the salty and acidic media was also assessed. The FTIR results revealed the presence of both shell and core in the prepared nanocapsules and proved that no reaction occurred between them. The morphological studies confirmed that the electrosprayed nanocapsules’ mean diameter was 708 ± 252 nm with an average shell thickness of 82 nm. The TGA test demonstrated the thermal stability of nanocapsules to be up to 270 °C while the DSC results reveal a successful reaction between CAR and epoxy resin, especially in the acidic media. The electrochemical impedance spectroscopy (EIS) test results demonstrate that the best self-healing performance was achieved for the 2 and 1 wt.% nanocapsules incorporation in the NaCl, and HCl solution, respectively.