AbstractThis work reports the production of polymeric nanocapsules of polymethyl methacrylate (PMMA)/phase change materials (PCM), using continuous supercritical emulsion extraction (SEE‐C). Five fatty acids (FAs) were tested: capric (CA), lauric (LA), myristic (MA), palmitic (PA), and stearic (SA) acid, using supercritical carbon dioxide (SC‐CO2) operating at 80 bar and 38°C in a tower apparatus. The two fatty acids with lower molecular weight (CA and LA) were extracted by the supercritical solvent and capsules were not obtained. The other three FAs formed spherical, non‐coalescing nanocapsules characterized by mean diameters ranging between 134 and 252 nm, as shown by scanning electron microscope (SEM) images and dynamic light scattering (DLS) analysis, with a sharp particles size distribution and encapsulation efficiencies up to 99.8%. Differential scanning calorimetric analysis (DSC), thermogravimetric analysis (TGA) and derivative thermogravimetric analysis (DTG) analyses confirmed the successful encapsulation, allowing the measurement of the energy storage properties of produced capsules. Stability analysis performed over 5 months showed that the nanocapsules were stable in this time interval. Thermal cycles experiments confirmed the thermal stability of the capsules. The best performance was obtained for PA based nanocapsules, which showed a stability reduction of only 0.43% after 25 thermal cycles.