Supercritical adsorptive precipitation (SAP) can be employed to load hydrophobic bioactives onto aerogels formed using the Pressurized Gas eXpanded liquid (PGX) Technology to prepare novel delivery systems. The objective of this study was to investigate the effects of SAP parameters on the coenzyme-Q10 (CoQ10) loading onto PGX-processed sodium alginate (PGX-SA) and its physicochemical properties. Within the ranges tested, higher recirculation time (50 min) and flow rate (262 mL/min), lower pressure (200 bar), and higher surface area biopolymer resulted in higher CoQ10 loading (46.9 ± 3.0% w/w). Helium ion microscopy revealed a rather uniform coating of PGX-SA fibrils, covering the porous structure. Thermal and crystallinity analyses demonstrated a decrease in CoQ10 crystallinity. CoQ10-loaded PGX-SA suspension in water remained stable for 50 days at 4 °C. These findings demonstrate the potential of PGX Technology combined with SAP for developing delivery systems for hydrophobic bioactives to increase water dispersibility and suspension stability, which can boost their bioavailability.