A continuous rotary machine for filling capsules with pharmaceutical products is provided with at least one dosing wheel having a plurality of pockets each defined by a respective upper seat, which is suited to receive and hold a closing cap of a capsule and by a respective lower seat, which is suited to receive and hold a bottom of the capsule, and is provided with a measuring device to measure the weight of the bottom or of the bottom and of the pharmaceutical product contained in the lower seat itself; the upper seat being radially mobile between a forward position, in which the lower and the upper seats are vertically aligned with each other, and a retracted position, in which the lower and the upper seats are vertically staggered with respect to each other.