The invention provides a device for producing microparticles by supercritical fluid auxiliary spray. The device consists of a carbon dioxide cylinder, a cooling water tank, a valve, a plunger pump, a heater, a gas-liquid mixing chamber, a pressure monitoring system, a heating jacket, a valve, a nozzle base, a drying box, a valve, a constant flow pump, a solvent storage tank, a heating jacket, a cyclone separator, a collection tank, an air pump, an air heater, a supercritical carbon dioxide storage tank, an air filter and a nozzle. The device provided by the invention can be applied to the preparation of pharmaceutical microparticles or nanoparticles, and drug-loaded microparticles or nanoparticles containing carriers. The device is characterized by reasonable design and low cost and adopts the integrated insulation design of the gas-liquid mixing chamber and the nozzle, which can reduce the nozzle temperature drop caused by the injection of the mixture of carbon dioxide and solvent, can ensure the spray to go smoothly; can decrease the change of particle sizes caused by temperature fluctuation, can continuously, efficiently and conveniently prepare and collect microparticles, and can be applicable to industrialized continuous production.