Supercritical carbon dioxide (Sc-CO2) is an alternative tool to extract lipid for the production of fish oil and enzyme from fish by-products (FBPs). In the application of Sc-CO2, this review covers sample preparation, lipid extraction operation, and characterization of fish oil and enzyme as final products. Generally, the fish samples with moisture content less than 20% and particle size less than 5 mm are considered before lipid extraction with Sc-CO2. Sc-CO2 parameters, such as pressure (P), temperature (T), extraction time (text), and flow rate (F), for simultaneous recovery of fish oil, protein, and enzyme were found to be less severe (P: 10.3–25 MPa; T: 25–45 °C, text: 20–150 min; F: 3–50 g/min) than the extraction of fish oil alone (P: 10–40 Mpa; T: 35–80 °C; text: 30–360 min; F: 1–3000 g/min). The enzyme from the Sc-CO2 defatted sample showed higher activity up to 45 U/mg due to lower denaturation of protein as compared to the organic solvent treated sample albeit both samples having similar pH (6–10) and temperature stability (20–60 °C). Overall, mild extraction of lipid from FBPs using Sc-CO2 is effective for the production of enzymes suitable in various industrial applications. Also, fish oil as a result of extraction can be produced as a health product with high polyunsaturated fatty acids (PUFAs) and low contamination of heavy metals.