The process by which a liquid jet falling into a liquid pool entrains air is studied experimentally and theoretically. It is shown that, provided the nozzle from which the jet issues is properly contoured, an undisturbed jet does not entrap air even at relatively high Reynolds numbers. When surface disturbances are generated on the jet by a rapid increase of the liquid flow rate, on the other hand, large air cavities are formed. Their collapse under the action of gravity causes the entrapment of bubbles in the liquid. This sequence of events is recorded with a CCD and a high-speed camera. A boundary-integral method is used to simulate the process numerically with results in good agreement with the observations. An unexpected finding is that the role of the jet is not simply that of conveying the disturbance to the pool surface. Rather, both the observed energy budget and the simulations imply the presence of a mechanism by which part of the jet energy is used in creating the cavity. A hypothesis on the nature of this mechanism is presented.