Hypothesis: A water jet penetrating into a water pool produces air entrainment and bubbles that rise to the surface and disintegrate. A similar scenario can be expected when a granular jet enters into water. This phenomenon is common in natural and industrial processes but remains so far unexplored. Experiments: A collimated jet of monodisperse silica beads was poured into water and the process was filmed with a high-speed camera. The grain size, jet impact velocity, and the liquid physical properties were systematically varied. Findings: For grains of similar to 50-300 mu m in diameter, the granular jet deforms the air-water interface, penetrates the pool and produces air entrainment. Most of the entrained air is contained in the interstitial space of the jet, and its volume is linearly proportional to the volume of grains. The bubbles formed in this process are covered by a layer of grains attached to the bubble air-water interface due to capillary-induced cohesion. These "granular bubbles" are stable over time because the granular shell prevents coalescence and keeps the air encapsulated, either if the bubbles rise to the surface or sink to the bottom of the pool, which is determined by the competition of the buoyancy and the weight of the assembly. (C) 2020 Elsevier Inc. All rights reserved.