The present study investigated and compared the quality and chemical composition of Moroccan walnut (Juglans regia L.) oil. This study used three extraction techniques: cold pressing (CP), soxhlet extraction (SE), and ultrasonic extraction (UE). The findings showed that soxhlet extraction gave a significantly higher oil yield compared to the other techniques used in this work (65.10% with p < 0.05), while cold pressing and ultrasonic extraction gave similar yields: 54.51% and 56.66%, respectively (p > 0.05). Chemical composition analysis was carried out by GC–MS and allowed 11 compounds to be identified, of which the major compound was linoleic acid (C18:2), with a similar percentage (between 57.08% and 57.84%) for the three extractions (p > 0.05). Regarding the carotenoid pigment, the extraction technique significantly affected its content (p < 0.05) with values between 10.11 mg/kg and 14.83 mg/kg. The chlorophyll pigment presented a similar content in both oils extracted by SE and UE (p > 0.05), 0.20 mg/kg and 0.16 mg/kg, respectively, while the lowest content was recorded in the cold-pressed oil with 0.13 mg/kg. Moreover, the analysis of phytosterols in walnut oil revealed significantly different contents (p < 0.05) for the three extraction techniques (between 1168.55 mg/kg and 1306.03 mg/kg). In addition, the analyses of tocopherol composition revealed that γ-tocopherol represented the main tocopherol isomer in all studied oils and the CP technique provided the highest content of total tocopherol with 857.65 mg/kg, followed by SE and UE with contents of 454.97 mg/kg and 146.31 mg/kg, respectively, which were significantly different (p < 0.05). This study presents essential information for producers of nutritional oils and, in particular, walnut oil; this information helps to select the appropriate method to produce walnut oil with the targeted quality properties and chemical compositions for the desired purpose. It also helps to form a scientific basis for further research on this plant in order to provide a vision for the possibility of exploiting these oils in the pharmaceutical, cosmetic, and food fields.