Many studies in literature have reported supported metal phosphides as promising hydrotreating catalysts. The synthesis of highly dispersed metal phosphide nanoparticles is usually achieved tuning various parameters such as the nature of the phosphorous precursor or the reduction protocol. In this study, the alumina supported molybdenum phosphides were prepared following a newly developed method using supercritical fluids (SCFs) technology including several elementary steps: incipient wetness impregnation and ageing, supercritical CO2 flash‐drying, followed by hydrogen reduction. Experimental parameters allowed us modulating main characteristics of catalysts: crystallinity, reducibility, nanoparticles (NPs) mean size and size distribution. High temperature treatments (400 °C) in scCO2 media lead to the presence of heteropolyanions unlike what is observed in conventional treatment under air. Catalytic performances in selective hydrodesulfurization of methyl‐3‐thiophene, in presence of 2,3‐dimethylbut‐2‐ene, have been assessed and were improved in terms of activity or selectivity compared to MoP and CoMoS reference catalysts, respectively.