The nanoscale drug-loaded micelles can be prepared by the supercritical carbon dioxide evaporation method. Here, response surface methodology is used to optimize this process. The effects of pressure, ScCO₂ release rate and the volume ratio of water against ScCO₂ on the drug entrapment efficiency (EE) of the obtained micelles are discussed in detail. The obtained second-order polynomial equation can successfully predict the drug EE of the drug-loaded micelles. The maximum EE can reach 70.1% under optimal conditions in which the pressure is 12.27 MPa, the release rate is 10 L min-1 and the volume ratio of water against ScCO₂ is 3.67:1. The prepared micelles exhibit a narrow size distribution and relatively regularly spherical shape. In vitro drug release study reveals that the release of paclitaxel from the micelles is slow and sustained.