The invention relates to a method for preparing a soluble inclusion complex comprising one or several active substances which are hardly soluble in an aqueous medium and are included in one or several host molecules, characterised in that it comprises the following succesive stages: (a) one or several active substances are brought into contact with one or several host molecules; (b) initiation of a molecular diffusion stage by bringing a dense pressurized fluid into contact with the mixture obtained in stage (a) in a static mode in the presence of one or several diffusing agents; (c) recovery of the active substance- host molecule molecular complex thus formed; (d) initiation of a stage wherein an interaction agent is added to and mixed with the active substance host molecule molecular complex; (e) recovery of the soluble inclusion compound thus formed. The invention also relates to the soluble inclusion compound which can be obtained by said method, particularly a piroxicam-cyclodextrin-arginine compound.