Microalgae fractionation was investigated combining supercritical carbon dioxide extraction of lipids and pigments and protein extraction from the residues, on Chlorella vulgaris and Nannochloropsis oculata. The results indicated that for N. oculata, chlorophyll (a) is extracted rapidly and selectively apart from Chlorophyll (b), representing 34% and 0.41% in 30 min at 450 bar and 50 °C and up to 43% and 0.48% at 750 bar at the same time and temperature, respectively. The extraction profile of chlorophyll (a) is similar to of neutral lipids. For C. vulgaris, the results emphasized the importance of adding a co-solvent during the supercritical extraction to achieve 30% of chlorophyll (a), while the extraction of other pigments was lower especially for chlorophyll (b) extraction yield reaching 0.1% of its total content. Then for the second time, the extraction of proteins was studied on N. oculata delipidated cake. The results showed that the higher the level of delipidation, the higher the extraction yield, with an increase from 54% for crude cake to 73% for delipidated cake.