In this work, steam explosion (SE) was applied to prompt the rapid extraction of ergosterol and polysaccharides from Flammulina velutipes root (FVR) waste. Ultrasound-assisted saponification extraction (UASE) followed by water extraction was used to prepare ergosterol and polysaccharides. The results indicated that SE destroyed the complicated structure of FVR and increased its internal porosity and surface roughness. SE caused the thermal degradation of FVR’s structural components and increased the polysaccharide content 0.97-fold. As a result, the extraction yield and efficiency of ergosterol and polysaccharides were improved. The theoretical maximum extraction concentration (C∞) and diffusion coefficient (D) were increased by 34.10% and 78.04% (ergosterol) and 27.69% and 48.67% (polysaccharides), respectively. The extraction yields obtained within 20–30 min of extraction time exceeded those of untreated samples extracted after several hours. For polysaccharides, SE led to a significant reduction in the average molecular weight, increased the percentage of uronic acids and decreased the neutral sugar percentage. The monosaccharide composition was changed by SE, with an increase in the molar ratio of glucose of 64.06% and some reductions in those of other monosaccharides. This work provides an effective method for the processing of fungi waste and adds to its economic value, supporting its high-value utilization in healthcare products.