This paper is devoted to studying the Rubio de Francia extrapolation for multilinear compact operators. It allows one to extrapolate the compactness of T from just one space to the full range of weighted spaces, whenever an m-linear operator T is bounded on weighted Lebesgue spaces. This result is indeed established in terms of the multilinear Muckenhoupt weights A p, r , and the limited range of the L p scale. To show extrapolation theorems above, by means of a new weighted Fréchet-Kolmogorov theorem, we present the weighted interpolation for multilinear compact operators. As applications, we obtain the weighted compactness of commutators of many multilinear operators, including multilinear ω-Calderón-Zygmund operators, multilinear Fourier multipliers, bilinear rough singular integrals and bilinear Bochner-Riesz means. Beyond that, we establish the weighted compactness of higher order Calderón commutators, and commutators of Riesz transforms related to Schrödinger operators.