  Let us consider a Gaussian probability on a Banach space. We prove the
existence of an intermediate Banach space between the space where the Gaussian
measure lives and its RKHS. Such a space has full probability and a compact
embedding. This extends what happens with Wiener measure, where the
intermediate space can be chosen as a space of H\"older paths. From this result
it is very simple to deduce a result of exponential tightness for Gaussian
probabilities.
