This study aimed to determine the optimal pressure and temperature for the maximum extraction yield and recovery of lipophilic bioactive compounds (BACs) during the supercritical carbon dioxide extraction (SCO2) of fennel seeds. For this purpose, the SCO2 pressure (78.6–361.4 bar) and temperature (35.9–64.1 °C) were varied and optimized, and all of the extracts obtained were analyzed for the volatiles, fatty acids, sterols, tocochromanols and carotenoids. The results showed that the maximum extract yield and content of all of the compounds analyzed favored a higher pressure (320 bar) and lower temperature (40 °C), except for the volatiles, which were the highest at 120 bar and 42 °C. However, the optimal SCO2 conditions for obtaining the highest overall total lipophilic fraction were 320 bar and 40 °C, respectively. The fennel SCO2 extract obtained under these conditions contained 18 volatiles (trans-anethole as the major component), 12 fatty acids (oleic and petroselinic as the major compounds), 12 sterols (β-sitosterol and stigmasterol as the major compounds), two pentacyclic triterpenoids (α-, β-amyrin), one tocopherol (α-tocopherol), two tocotrienols (γ-, δ-tocotrienol) as well as two carotenoids (lutein and β-carotene). The SCO2 proved to be very efficient for the isolation of various lipophilic BACs from fennel, and the results of this study may be of interest to academia and industry.