A new method was developed to prepare supported ionic liquids (SILs) continuously with the assist of supercritical carbon dioxide (scCO2). Two ionic liquids (ILs), 1-Butyl-3-methylimidazolium tetrafluoroborate ([Bmim][BF4]) and 1-Butyl-3-methylimidazolium acetate ([Bmim][Ac]), were confined into SBA-15 pores by physical adsorption. Effects of duration time, pressure, temperature, and CO2 flow on ILs loadings were investigated and controllable preparation was realized. Highest loadings of 187.30% and 122.40% for [Bmim][BF4] and [Bmim][Ac] respectively were obtained. The equilibrium time and reactor volume of this continuous method were reduced by ca. 5 times and 13 times than those in a batch method. Pore structures of SILs were studied and proved to be kept perfectly by TEM and N2-sorption analysis. Ordered mesoporous structure was retained without severe blockage. The onset decomposed temperature of [Bmim][BF4] and [Bmim][Ac] measured by TGA was 280 °C and 160 °C after confinement. Only a little reduction of 10 °C happened compared with bulk ILs, suggesting the high thermal stability of SILs. FR-IR tests showed that vibration bands of imidazolium ring and [BF4] shifted after confinement due to the interaction with SBA-15.