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