Phytonutrients are plant-derived bioactives which are widely utilized as colorants or supplements in food, cosmetic, and pharmaceutical products. To meet the global demand for phytonutrients, oil palm has emerged as a promising source of phytonutrients on account of its large-scale plantation worldwide and high oil productivity. Phytonutrients including carotenoids, tocols, sterols, squalene, phospholipids, coenzyme Q10, and polyphenols can be found in crude palm oil as well as in the byproducts (e.g. palm oil mill effluent and palm-pressed fiber oil) generated from the palm oil milling process. However, the high viscosity and semisolid properties of palm oil are problematic in phytonutrient extraction. Another major challenge is the retention of the sensitive phytonutrients during the extraction process. Over the years, the advances in the extraction methods have improved the extractability of phytonutrients. The emerging extraction methods can operate under mild conditions to mitigate the risk of phytonutrient degradation. This review outlines the types of phytonutrient in palm oil and their extraction strategies. The working principles and operating conditions of extraction methods are discussed along with their potential and limitations in terms of extraction efficiency and practicability. The methods for pretreatment of feedstocks for improving extraction efficiency are also highlighted. The challenges in the extraction of phytonutrient from palm oil feedstock are summarized. Lastly, we provide suggestions for overcoming the limitations and improving the performances of phytonutrient extraction.