Boron nitride nanocapsules with gold, iron oxide and germanium nanoparticles were produced. High-resolution electron microscopy and electron energy-loss spectroscopy showed the gold, iron oxide and germanium nanoparticles were encapsulated in the boron nitide sheets. Weak peaks of photoluminescence spectrum were observed from the nanocapsules with germanium nanoparticles. The present work indicates that the boron nitide nanocapsules with conducting, magnetic and semiconductor nanoparticles can be produced by are melting method, and models for the formation mechanism and nano-structures of the boron nitide nanocapsule were proposed.