Capsaicinoids, which are the responsible for the pungency of peppers, have strong pharmacological effects. The encapsulation of capsaicinoids can be an alternative for its industrial application. The aim of this work was to evaluate the effect of various ultrasound emulsification conditions, such as surfactant concentration, oil/water ratio, and ultrasound power on the emulsion droplet size. Emulsions formed by Hi-Cap 100 and oleoresin of Capsicum frutescens pepper were then applied in a SFEE process. Ultrasound emulsification resulted in high emulsification efficiency and stability. The selected time for emulsion injection into the SFEE system was 10 min after its preparation, based on the coalescence kinetics. The SFEE process resulted in a considerable loss of oleoresin by dissolution in the supercritical CO2 and promoted a droplet volume expansion, reflected by the increase in the diameter of the droplets in suspension. The formation of emulsions by ultrasound emulsification in the evaluated conditions showed promising results, but more studies are required to improve the SFEE process.