A process for continuous production of crosslinked fine particles of polymer gel by copolymerizing a) water-soluble monoethylenically unsaturated monomers, b) from 0.001 to 5 mol % based on the monomers (a) of monomers containing at least two ethylenically unsaturated double bonds, and c) from 0 to 20 mol % based on the monomers (a) of water-insoluble monoethylenically unsaturated monomers in from 20 to 80% by weight aqueous solution in the presence of an initiator at from 0 to 140null C. by feeding the aqueous solution of the monomers together with the initiator and an inert gas continuously into a mixing kneader having at least two axially parallel rotating shafts equipped with a plurality of kneading and transporting elements which convey the substances introduced at the upstream end of the mixing kneader in the axial direction toward the downstream end of the mixer, comprises the fraction of heat being removed by evaporation of water from the reaction mixture being not less than 5% of the heat of reaction and the fraction of heat being removed by product discharge being not less than 25% of the heat of reaction and the rest of the heat being removed via cooling of the reactor walls.