The particles from the gas-saturated solutions (PGSS) process was employed to micronize brown algae pigments separated by different extraction techniques. The particle formation of pigments with a coating material, polyethylene glycol (PEG), was carried out by the PGSS process using supercritical CO2. Environmental scanning electron microscopy (ESEM) and Fourier-transform infrared spectroscopy (FTIR) were performed to characterize the produced particles, while encapsulation efficiency was determined using spectrophotometric methods. The physical properties of obtained microparticles were also determined. The PGSS process enabled a high encapsulation yield in the range from 61.60 to 73.73%, and high encapsulation efficiency in terms of chlorophyll a, chlorophyll b, and carotenoid content. The release of CO2 during the PGSS process gave the microparticles their characteristic open and porous form, and enhanced the solubility and flow properties at the same time.