The invention concerns a method for collecting and encapsulating with a coating agent particles dispersed in a fluid at supercritical pressure and an installation for implementing said method. Said method is characterised in that it comprises steps which consist in: expanding said fluid at a pressure less than its critical pressure, so as to bring it to a gaseous state; causing said gas to trickle down in a liquid consisting of a solution substantially saturated with the coating agent in a solvent in which the particles are insoluble, so as to extract at least partially the solvent; and causing the coating agent to precipitate onto the particles thereby forming microcapsules.