Provided are ink jet ink excellent in dispersion stability and ejection stability and capable of forming images with fastness, abrasion resistance, color developability, and high density with little feathering; a microencapsulated pigment (MCP) providing the ink and a process of making the same; and an aqueous dispersion of the MCP. The MCP comprises pigment particles having a hydrophilic group on their surface (hydrophilized pigment particles) and coated with a polymer by emulsion polymerization. The process comprises emulsion polymerization in the presence of the hydrophilized pigment particles. The ink essentially contains the MCP and water.