The recovery of bioactive products with green processes is a critical topic for the research and industry fields. In this work, the application of solid–liquid (SLE), microwave-assisted extraction (MAE) with aq. ethanol 90% v/v and supercritical fluid extraction (SFE) with CO2 for the recovery of biocomponents from Scenedesmus obliquus is studied. The effects examined were temperature (30–60 °C), time (6–24 h), and solvent-to-biomass ratio (20–90 mLsolv/gbiom) for SLE, temperature (40–60 °C), time (5–25 min), solvent-to-biomass ratio (20–90 mLsolv/gbiom), and microwave power (300–800 W) for MAE, and temperature (40–60 °C), pressure (110–250 bar), solvent flow rate (20–40 gsolv/min), and cosolvent presence (0, 10% w/w ethanol) for SFE in relation to the extract’s yield, phenolic, chlorophyll, carotenoid content, and antioxidant activity. The optimum extraction conditions determined were 30 °C, 24 h, and 90 mLsolv/gbiom for SLE, 60 °C, 5 min, 90 mLsolv/gbiom, and 300 W for MAE, and 60 °C, 250 bar, and 40 gsolv/min for SFE. Additionally, a kinetic SFE study was conducted and the obtained results were satisfactorily correlated using Sovová’s model. The comparison between the methods proved MAE’s efficiency in all terms compared to SLE. Moreover, SFE was accompanied with the lowest yield and chlorophyll content, yet led to an increased carotenoid content and improved antioxidant activity. Finally, the cosolvent addition significantly improved SFE’s yield and led to the most superior extract.