Freezing fish oil capsules will not adversely affect their quality, but it isn't necessary, either. Refrigeration is sufficient to preserve the integrity of the oil.
Freezing fish oil has been equated to a "purity test" of sorts. It is said that If the oil freezes completely, it is of poor quality, owing to a lower concentration of saturated fats. Partial freezing supposedly indicates unspecified "impurities" within the oil.
There is no scientific evidence that presently supports this statement, and it is widely regarded to be myth. A better quality control test is to smell the capsule: a mild odor is preferred to an overwhelmingly "fishy" odor, which signifies a compromised integrity.
Fish oil is also frozen in the hopes that it will eliminate the fishy aftertaste experienced by many as "fish burps." The theory is that the process of freezing slows down the body's digestion of the oil, and common gastrointestinal discomforts, like nausea, are avoided.
Tolerance for supplements varies on an individual basis, and this solution is not effective for all. Enteric-coated capsules, though pricier, are better suited for the purpose of staving off fish breath.
Try taking fish oil with a meal. This can deter some of the side effects freezing is meant to prevent.