Shark liver oil (SLO), rich in squalene, was incorporated into modified starch microparticles (MSMs) by supercritical CO2. This polyunsaturated triterpene presents antitumor and antioxidant activities and, due to the high level of unsaturation in the molecule, it is vulnerable to oxidative attack. This research therefore contributes to the development of methods for impregnating such oil into MSM in order to increase the oil's oxidation stability and prevent its degradation in order to facilitate its use in mixtures with inputs for drugs, foods, and cosmetic. To form SLO-incorporated MSM, a physical mixture composed of 44% of two MSM with different degrees of hydrophobicity, 11% SLO, 1% lecithin, and 44% ethanol were treated with supercritical CO2 at 120 bar, 40, and 60°C. The SLO-incorporated MSM preserved MSM morphology and exhibited good incorporation of SLO (74–82%), a high degree of solubilization in water (78–86%), and a low hygroscopicity (4–9%). Stability evaluation revealed that the SLO-incorporated MSM of Purity Gum Ultra that was formed at 60°C preserved 44% of the initial squalene content. Accordingly, supercritical impregnation represents a practical alternative for SLO impregnation since it is a quick method that does not use water in its formulation and can be done at low temperature. Practical Applications: The improvement of drug and food inputs that are thermosensitive in nature and/or of low polarity can be produced by using low-cost wall material that can make the process more cost effective and more accessible. Particle formation by supercritical CO2 impregnation is a green and nonaggressive process for bioactive compounds that allows the design of innovative food products. Moreover, the fact that the use of modified starches for wall materials, which are already used safely by the food and pharmaceutical industries, makes the process and derived products more reliable. In this sense, the incorporation of shark liver oil (rich is squalene) in modified starch microparticles by supercritical impregnation could be a practical alternative for powdered food industries.