This work investigated hydrolysed collagen (HC) powder as carrier material for particle formation via supercritical CO2 impregnation. HC solubility and volumetric expansion in supercritical CO2 (ρ: 605.8–834.8 g/L) were measured. Formation of HC particles loaded with lycopene dispersed in sunflower oil (LSO) (HC-LSO) using supercritical CO2 at 100–140 bar and 40–50 °C and HC/LSO ratios of 4:1–10:1 (w/w) was studied. HC had constant solubility (0.5–0.6 g/kg CO2) and no volumetric expansion was visibly observed. HC-LSO had similar spherical morphology, size distribution, and loading capacity (0.025 g of LSO/g of HC) between treatments. HC-LSO formed with HC/LSO ratio of 10:1 (w/w) stand out for their low agglomeration. Since HC showed low interaction with supercritical CO2 under different conditions and preserved its powder appearance after impregnation with LSO, it is suggested to be used as carrier of lipophilic bioactive compounds in particle formation via supercritical CO2 impregnation at moderate temperature (40–50 °C).