Polyphenylene oxide (PPO)/cellulose nanocrystal (CNC)/carbon black (CB) microcapsules were fabricated by the supercritical extraction of Pickering emulsion (SFEPE) method. The effects of Pickering emulsion formulations on the emulsion properties, emulsification kinetics, and CPM properties were investigated. The phase behaviors in the supercritical extraction process were studied, and the mass transfer between the emulsion droplet and supercritical carbon dioxide (SCCO2) was also interpreted. The results indicate that CNC concentration, CB concentration, and NaCl concentration can decrease the droplet size and creaming index of emulsions, while the water–oil ratio can decrease the droplet size but enhance the creaming index. The emulsion formulations of water–oil > 3, CNC concentration > 0.25 mg/mL, CB concentration < 2.5 mg/mL, and NaCl concentration > 2.5 mg/mL are conducive to the emulsion formation and emulsification kinetics. For the supercritical extraction on Pickering emulsions, the operation conditions slightly above the mixture critical point (9 MPa at 313 K, for example) are proved to be conducive to the extraction.