The advances of common natural polymer as wall material of microcapsules are introduced to provide useful enlightenment for the follow-up research and development. In this paper, the physical and chemical properties of natural polymer materials including polysaccharides, proteins and lipids, the preparation methods of microcapsules and their applications are summarized, and some prospects for future development are put forward. Natural polymer microcapsule wall materials have incomparable advantages in biosafety and renewability, but also face some application and theoretical problems to be solved. The use of a single natural polymer wall material is usually difficult to meet the application requirements, a combined application of a variety of natural and/or modified wall materials has gradually become a trend. In short, natural polymer is in line with the concept of green and sustainable development, which has a broad and bright future in microcapsule wall materials. According to a specific capsule core, the rational selection of a single or compound of natural (modified) polymer as wall materials, which aims to prepare microcapsules suitable for given terminal application performance and safe in use, still has huge development space in the future.