The zero-waste biorefinery concept inspired a green oleo-extraction of both natural volatile (e.g., borneol, camphor, o-cymene, eucalyptol, limonene, α-pinene, and terpinen-4-ol) and non-volatile (e.g., carnosol, carnosic, and rosmarinic acid) bioactive compounds from rosemary leaves with vegetable oils and their amphiphilic derivatives as simple food-grade solvents. It is noteworthy that soybean oil could obtain the highest total phenolic compounds (TPCs) among 12 refined oils including grapeseed, rapeseed, peanut, sunflower, olive, avocado, almond, apricot, corn, wheat germ, and hazelnut oils. Furthermore, the addition of oil derivatives to soybean oils, such as glyceryl monooleate (GMO), glyceryl monostearate (GMS), diglycerides, and soy lecithin in particular, could not only significantly enhance the oleo-extraction of non-volatile antioxidants by 66.7% approximately, but also help to remarkably improve the solvation of volatile aroma compounds (VACs) by 16% in refined soybean oils. These experimental results were in good consistency with their relative solubilities predicted by the more sophisticated COSMO-RS (COnductor like Screening MOdel for Real Solvents) simulation. This simple procedure of using vegetable oils and their derivatives as bio-based solvents for simultaneously improving the extraction yield of natural antioxidants and flavors from rosemary showed its great potential in up-scaling with the integration of green techniques (ultrasound, microwave, etc.) for zero-waste biorefinery from biomass waste to high value-added extracts in future functional food and cosmetic applications.