A novel process for continuous hydroformylation in CO2‐expanded liquids (CXLs) is demonstrated using bulky phosphite ligands that are effectively retained in the stirred reactor by a nanofiltration membrane. The reactor is operated at 50°C with a syngas pressure of 0.6 MPa to avoid CO inhibition of reaction rate and selectivity. The nanofiltration pressure is provided by ∼3.2 MPa CO2 that expands the hydroformylation mixture and increases the H2/CO ratio in the CXL phase resulting in enhanced turnover frequency (∼340 h−1), aldehydes selectivity (>90%) and high regioselectivity (n/i ∼8) at nearly steady operation. The use of pressurized CO2 also reduces the viscosity in the CXL phase, thereby improving the mass‐transfer properties. Constant permeate flux is maintained during the 50 h run with Rh leakage being less than 0.5 ppm. This technology concept has potential applications in homogeneous catalytic processes to improve resource utilization and catalyst containment for practical viability. © 2013 American Institute of Chemical Engineers AIChE J, 59: 4287–4296, 2013