Method of making aqueous dispersions of hydrophobic polymer particles loaded with at least one hydrophobic compound, comprising the consecutive steps of dissolving said at least one hydrophobic compound in a water-immiscible organic solvent medium, dispersing the solution obtained in water or in an aqueous medium to form a dispersed phase having an average droplet size lower than 5 .mu.m, mixing the resulting dispersion with a dispersion of hydrophobic polymer particles in water or in an aqueous medium, said hydrophobic polymer particles being swellable in said water-immiscible solvent medium and having an average particle diameter ranging from 0.02 to 5.0 .mu.m, stirring the mixture obtained to allow said hydrophobic compound to associate with said hydrophobic polymer particles, and removing said water-immiscible organic solvent medium by evaporation.