Microalgae represent a promising source of high-value compounds, including proteins, lipids, and carotenoids. Some species can accumulate lipids up to 70% of their dry weight, consisting of a wide range of saturated, monounsaturated, and polyunsaturated fatty acids, including omega-3 and omega-6 fatty acids. Omega-3 fatty acids are essential for human health, particularly in the prevention of cardiovascular diseases. Fish-derived products and dietary supplements currently represent the main sources for human consumption. Among microalgae, Schizochytrium sp. has attracted considerable interest due to its high lipid content, accounting for approximately 50% of dry biomass, and its ability to produce high-value long-chain polyunsaturated fatty acids such as eicosapentaenoic acid and docosahexaenoic acid. In this study, supercritical carbon dioxide extraction was investigated as a green and sustainable technology for lipid recovery from Schizochytrium sp. biomass. Under supercritical conditions, CO₂ combines high solvent capacity with high diffusivity and low viscosity, enabling efficient and selective extraction of lipids, including thermolabile compounds, without the use of toxic organic solvents. Moreover, the moderate operating temperatures help preserve the chemical and nutritional integrity of polyunsaturated fatty acids. Extractions were carried out using the LUWAR pilot plant at pressures above 260 bar, a temperature of approximately 50 °C, and an extraction time of 240 minutes. The extraction yields, together with the characterization of the lipid extracts and the residual biomass, demonstrated that supercritical carbon dioxide extraction is an efficient and promising technology for the recovery of high-value lipids from microalgae, while also enabling the potential valorization of the defatted biomass within an integrated biorefinery approach.