Lutein has several benefits for human health, playing an important role in the prevention of age-related macular degeneration (AMD), cataracts, amelioration of the first stages of atherosclerosis, and some types of cancer. In this work, the Scenedesmus almeriensis microalga was used as a natural source for the supercritical fluid (SF) extraction of lutein. For this purpose, the optimization of the main parameters affecting the extraction, such as biomass pre-treatment, temperature, pressure, and carbon dioxide (CO2) flow rate, was performed. In the first stage, the effect of mechanical pre-treatment (diatomaceous earth (DE) and biomass mixing in the range 0.25–1 DE/biomass; grinding speed varying between 0 and 600 rpm, and pre-treatment time changing from 2.5 to 10 min), was evaluated on lutein extraction efficiency. In the second stage, the influence of SF-CO2 extraction parameters such as pressure (25–55 MPa), temperature (50 and 65 °C), and CO2 flow rate (7.24 and 14.48 g/min) on lutein recovery and purity was investigated. The results demonstrated that by increasing temperature, pressure, and CO2 flow rate lutein recovery and purity were improved. The maximum lutein recovery (~98%) with purity of ~34% was achieved operating at 65 °C and 55 MPa with a CO2 flow rate of 14.48 g/min. Therefore, optimum conditions could be useful in food industries for lutein supplementation in food products.