Supercritical CO2 phase inversion is one of the most promising techniques to generate polymeric membranes. In recent years, it has been also tested to generate loaded membranes to be used in several applications such as controlled release, catalysis, tissue engineering, water purification, etc. In this work, membranes of cellulose acetate were generated, loaded with a highly hydrophobic drug with antifungal properties, i.e., quercetin. Different process parameters were tested to verify their effect on the final morphology of the membranes and on the drug distribution along the membranes. In particular, polymer concentration in the starting polymeric solution was varied from 5 to 15% w/w, operative pressure ranged between 100 and 200 bar, operative temperature from 45 to 55 °C. Different membranes structures were obtained: finger-like and cellular-like; the effect of these different morphologies on quercetin release was also analyzed, finding as finger-like structure promoted a faster drug release (i.e., less than 200 min) with respect to cellular structures (i.e., up to 1400 min). Results confirmed the capability of supercritical CO2 phase inversion process to generate loaded polymeric membranes and the high versatility of this process that allowed to generate different morphologies capable to control the drug release rate.