Although astaxanthin has promising physiological functions, its practical applications are limited by poor stability. Herein, astaxanthin was encapsulated in β-cyclodextrin (βCD) using CO2 as a supercritical antisolvent (SAS). The effects of process conditions, including temperature (313–333 K), pressure (12–18 MPa), solution concentration (3–5 wt%), solution flow rate (0.8–1.2 mL min−1), and astaxanthin-to-βCD mole ratio (1:50, 1:25, or 1:10), on the encapsulation efficiency, particle morphology, and residual solvent content were investigated. Astaxanthin–βCD complex spheres with an average diameter of 0.44 ± 0.08 µm were produced at 313 K and 15 MPa with a solution concentration and flow rate of 5 wt%, and 1.0 mL min−1, respectively. Under these optimal conditions, almost complete encapsulation (99.6% encapsulation efficiency) and residual organic solvent removal (0.22 ppm in the complex) were achieved. Density functional theory analysis of the configuration of the astaxanthin–βCD complex indicate that the hydroxyl hydrogen atoms on an ionone ring of astaxanthin interact with the oxygen atoms of βCD, but the ionone ring does not fit deeply within the βCD cavity. Notably, the astaxanthin–βCD complex exhibits higher thermal stability and antioxidant activity than free astaxanthin. The findings suggest that βCD encapsulation via the SAS process can produce astaxanthin microparticles with potential utility for food and pharmaceutical applications. •Astaxanthin encapsulation in β-cyclodextrin was achieved using scCO2 as antisolvent.•Supercritical antisolvent (SAS) process produced amorphous microparticles.•Encapsulation efficiency of 99.6% with very low residual DMSO content was achieved.•Encapsulated particles exhibited enhanced thermal stability and antioxidant activity.•Inclusion complex was validated in the molecular level.