Sugarcane is primarily harvested to meet up to 80% of global sugar demand. Recently, lipids recovered from their biomass (straw and bagasse) have attracted much attention due to their possible utilisation in biofuel production but also by the presence of health-promoting compounds as phytosterols (i.e., improvement of cardiovascular function) or 1-octacosanol (i.e., anti-obesity). Although this fraction is commonly obtained through solid–liquid isolation, there is scarce information about how different solvents affect the composition of the extracts. This research work aimed to study whether, in sugarcane straw and bagasse samples, Soxtec extraction with widely used dichloromethane (DCM) would be suitable to recover most of the lipid classes when compared to other available solvents such as food grade ethanol (EtOH) or solvents without regulation restrictions for food and drug applications (i.e., acetone and ethyl acetate). The obtained results allow concluding that sugarcane waxes from straw and bagasse are complex lipid mixtures of polar and non-polar compounds. According to the extraction yield, the best results were obtained with ethanol (5.12 ± 0.30% and 1.97 ± 0.31%) for both straw and bagasse, respectively. The extractant greatly influenced the lipid composition of the obtained product. Thus, DCM enriched the isolates in glycerolipids (mono-, di- and triglycerides), free fatty acids, fatty alcohols, fatty aldehydes, phytosterols and hydrocarbons. On the other hand, EtOH resulted in polar isolates rich in glycolipids. Therefore, depending on the application and objectives of future research studies, the solvent to recover such lipids needs to be carefully selected.