Capsules with microparticle shells became of great interest due to their potential in many fields. Those capsules can be fabricated at high temperatures from particle-stabilized emulsions (Pickering emulsions) by sintering together particles that cover droplets. One of the problems with such an approach is accurately controlling whether particles are already sintered and creating the rigid capsule shell of a capsule. Here, we propose using a non-destructive ultrasound method for monitoring Pickering emulsion-based capsules prepared using heating under an alternating magnetic field. The polyethylene microparticles that were responsive to temperatures higher than 112 °C were used as droplet stabilizers together with iron oxide nanoparticles. During the coalescence of the droplets, facilitated by an external electric field, the ultrasonic attenuation increased, giving evidence that the ultrasound method detects structural changes in Pickering emulsions. The main change was the difference in the droplets' size, which was also observed via optical microscopy. The attenuation of ultrasound increased even more when measured after magnetic heating for the same concentration of particle stabilizers. Simultaneously, the values of ultrasonic velocity did not exhibit similar variety. The results show that the values of the attenuation coefficient can be used for a quantitative evaluation of the capsule formation process.