To obtain a clathrate compound having a high degree of clathration and freed from a risk of deterioration due to processing in the process by bringing pressurized carbon dioxide and cyclodextrin into contact with each other to form an aggregate and mixing this aggregate with a guest component.

A cyclodextrin (e.g. α-, β or γ-cyclodextrin, a derivative thereof or a polymer of this derivative) is sealed in a pressure container, carbon dioxide is injected into the container to an inside pressure of 5-15 atm. at 20°C or below to allow the cyclodextrin to adsorb at least 2g, per 100g of the aggregate, of the carbon dioxide. After the pressure of the gas inside the container is decreased, the aggregate is withdrawn. A guest component (e.g. retinol or butyl p-hydroxybenzoate) is mixed with this aggregate in a cyclodextrin/guest molar ratio of 1/0.1 to 1/10. The obtained mixture is kneaded for about 3hr with e.g. a ball mill. An analysis reveals that the degree of clathration of the host component with the guest component is 28-31mol% whereas this degree is about 1mol% when the treatment with carbon dioxide is not performed.