A method for loading particles of catalyst into a steam reforming exchanger-reactor consisting of a plurality of bayonet tubes enclosed in a shell, the catalyst being constituted by particles occupying at least a portion of the annular space included between an internal tube and an external tube, the assembly of these two tubes constituting a bayonet tube, the width of said annular space being in the range 30 mm to 80 mm, and its height being in the range 10 to 20 metres, said particles of catalyst being in the form of cylinders with an approximate height of 10 mm to 20 mm and with an approximate diameter of 5 mm to 20 mm, said loading method using a device for densely filling catalyst consisting of: • at least one rigid auxiliary tube penetrating into the interior of the annular zone and maintained at a distance from the surface of the bed being formed which is in the range 50 mm to 150 mm, with a diameter in the range 0.5 to 0.9 times the width of the annular space, said rigid auxiliary tube allowing the introduction of the solid particles for loading into the annular zone and being traversed by a countercurrent flow of gas introduced via the internal tube, • said auxiliary tube being divided into a plurality of sections with a length in the range 50 cm to 200 cm, which are placed end to end at the start of loading, then gradually withdrawn as and when the bed of particles is formed so as to maintain the desired distance with respect to the surface of the bed, and the particles of catalyst being contained in: • a central feed hopper for delivering the particles to a shaker conveyor or a conveyor belt supplying the auxiliary tube via: • a funnel, via which the particles flow into the interior of the annular space, and said dense loading method being characterized by the following series of steps: • the rigid auxiliary tube is initially dismantled into sections and is outside the bayonet tube, the feed hopper being filled with solid, • the rigid auxiliary tube is gradually introduced into the annular zone by placing the necessary number of sections end to end so that its lower end is positioned at a distance in the range 50 cm to 100 cm with respect to the bottom of the annular zone, • a flow of the gas that is suitable is introduced in its entirety into the internal tube, • the conveyor belt or the shaker conveyor is started up so as to provide a flow of solid particles in the range 150 kg/h to 500 kg/h, preferably in the range 250 kg/h to 500 kg/h, said solid particles being introduced into the annular zone via the rigid auxiliary tube, • as the annular zone is being filled, the rigid auxiliary tube is raised from the annular zone by removing sections with the aid of the external winding system so as to keep constant the distance with respect to the surface of the bed which is gradually being formed, said distance always being in the range 50 cm to 100 cm, • the rigid auxiliary tube is withdrawn at a speed equivalent to the speed of loading of the tube in the range 0.1 m/min to 0.4 m/min, and preferably in the range 0.2 to 0.4 m/min, • once the bayonet tube has been loaded and the loading system has been withdrawn, the rigid auxiliary tube is displaced in order to load the next tube. • at least one rigid auxiliary tube penetrating into the interior of the annular zone and maintained at a distance from the surface of the bed being formed which is in the range 50 mm to 150 mm, with a diameter in the range 0.5 to 0.9 times the width of the annular space, said rigid auxiliary tube allowing the introduction of the solid particles for loading into the annular zone and being traversed by a countercurrent flow of gas introduced via the internal tube, • said auxiliary tube being divided into a plurality of sections with a length in the range 50 cm to 200 cm, which are placed end to end at the start of loading, then gradually withdrawn as and when the bed of particles is formed so as to maintain the desired distance with respect to the surface of the bed, and the particles of catalyst being contained in: • a central feed hopper for delivering the particles to a shaker conveyor or a conveyor belt supplying the auxiliary tube via: • a funnel, via which the particles flow into the interior of the annular space, • the rigid auxiliary tube is initially dismantled into sections and is outside the bayonet tube, the feed hopper being filled with solid, • the rigid auxiliary tube is gradually introduced into the annular zone by placing the necessary number of sections end to end so that its lower end is positioned at a distance in the range 50 cm to 100 cm with respect to the bottom of the annular zone, • a flow of the gas that is suitable is introduced in its entirety into the internal tube, • the conveyor belt or the shaker conveyor is started up so as to provide a flow of solid particles in the range 150 kg/h to 500 kg/h, preferably in the range 250 kg/h to 500 kg/h, said solid particles being introduced into the annular zone via the rigid auxiliary tube, • as the annular zone is being filled, the rigid auxiliary tube is raised from the annular zone by removing sections with the aid of the external winding system so as to keep constant the distance with respect to the surface of the bed which is gradually being formed, said distance always being in the range 50 cm to 100 cm, • the rigid auxiliary tube is withdrawn at a speed equivalent to the speed of loading of the tube in the range 0.1 m/min to 0.4 m/min, and preferably in the range 0.2 to 0.4 m/min, • once the bayonet tube has been loaded and the loading system has been withdrawn, the rigid auxiliary tube is displaced in order to load the next tube.