Reverse micelles currently gain increasing interest in chemical technology. They also become important in biomolecular NMR due to their ability to host biomolecules such as proteins. In the present paper, a procedure for the preparation of high-pressure NMR samples containing reverse micelles dissolved in supercritical xenon is presented. These reverse micelles are formed by sodium bis(2-ethylhexyl) sulfosuccinate (AOT). For the first time, NMR spectroscopy could be applied to reverse micelles in supercritical xenon. The AOT/H2O/Xe system was studied as a function of experimental parameters such as xenon pressure, water content, and salt concentration. Optimum conditions for reverse micelle formation in supercritical xenon could be determined. It is, furthermore, demonstrated that biomolecules such as amino acids and proteins can be incorporated into the reverse micelles dissolved in supercritical xenon.