Essential oils have important commercial applications as preservatives and flavours, and more recently as natural antimicrobial agents. These applications require a suitable formulation constituted by biodegradable compounds that protect the essential oil from degradation and evaporation at the same time that allows for a sustained release. Microcapsules of biopolymers loaded with essential oils meet these requirements. Such microcapsules can be prepared with different processes such as spray-drying, freeze-drying and coacervation, and supercritical fluids are an advantageous medium for this purpose. Some supercritical fluid-based precipitation processes have already been applied to produce these microcapsules. Amongst them, the results obtained with Particles from Gas Saturated Solutions (PGSS), PGSS-drying and Concentrated Powder Form (CPF) processes are particularly promising. Recent developments in the preparation of formulations with supercritical fluids include the preparation of liposomes and micelles, which can be suitable carriers for essential oils.