Microparticles and nanoparticles of hydrophobized polysaccharide and an alpha-cyclodextrin, obtained by self-association in an aqueous medium, the hydrophobized polysaccharide being obtained by grafting of alkyl chains derived from fatty acids, by an acylation reaction. These microparticles and nanoparticles constitute systems used for encapsulating substances of interest, in particular in the pharmaceutical field, and vectorization thereof for therapeutic purposes.