Supercritical carbon dioxide (sc-CO2) extraction was applied to extract lipids from spent coffee grounds. The effects of different process conditions on the extraction yield and composition of the extracts were investigated by response surface methodology. A comparison of the experimental results with those obtained by conventional solvent extraction was also performed. In all these samples, the main fatty acids were rich in palmitic and linoleic acids. Moreover, a new method was developed and validated for the gas chromatographic analysis of sterols and tocopherols. The results demonstrate that sc-CO2 extraction is principally a potential candidate method for the extraction of lipids and high value-added compounds from residues/by-products.