Alginate hydrogel microspheres are attractive as localized ion-delivery matrices for bone regeneration, but rapid ion exchange in physiological media can destabilize the network and produce an early release pulse. Here, MgO-loaded, Zn²⁺-crosslinked alginate cores were coated with chitosan to form core-shell MgO@ZnSA/CS hydrogel microspheres by electrospraying and electrostatic deposition. The resulting polyelectrolyte-complex shell reduced swelling, slowed degradation, and prolonged Mg²⁺ and Zn²⁺ release while providing a cell-adhesive interface. Two MgO contents were evaluated alongside Ca-crosslinked and Zn-crosslinked controls. In vitro, all formulations supported bone marrow mesenchymal stem cell viability. The low-MgO formulation (LoMgO@ZnMs) produced the greatest alkaline phosphatase staining, matrix mineralization, Runx2 expression, and osteogenic gene expression among the tested groups. In RAW264.7 macrophages cultured without inflammatory prestimulation, Zn-containing formulations increased Arg-1 and Il4/Il10 and reduced iNOS and Il6/Tnfα, consistent with a shift toward a pro-regenerative marker profile; LoMgO@ZnMs generally showed the strongest response. In a rat critical-sized calvarial defect model, LoMgO@ZnMs generated the highest new-bone indices and the most continuous mineralized tissue after 8 weeks. These findings identify chitosan-shelled, MgO-loaded zinc-alginate hydrogel microspheres as a sustained ion-delivery platform with dose-dependent osteogenic and immunomodulatory activity for non-load-bearing bone regeneration.