Since solvents of petroleum origin are now strictly regulated worldwide, there is a growing demand for using greener, bio-based and renewable solvents for extraction, purification and formulation of natural and food products. The ideal alternative solvents are non-volatile organic compounds (VOCs) that have high dissolving power and flash point, together with low toxicity and less environmental impact. They should be obtained from renewable resources at a reasonable price and be easy to recycle. Based on the principles of Green Chemistry and Green Engineering, vegetable oils could become an ideal alternative solvent to extract compounds for purification, enrichment, or even pollution remediation. This review presents an overview of vegetable oils as solvents enriched with various bioactive compounds from natural resources, as well as the relationship between dissolving power of non-polar and polar bioactive components with the function of fatty acids and/or lipid classes in vegetable oils, and other minor components. A focus on simulation of solvent-solute interactions and a discussion of polar paradox theory propose a mechanism explaining the phenomena of dissolving polar and non-polar bioactive components in vegetable oils as green solvents with variable polarity.