This review is a comprehensive summary of available collection techniques in supercritical fluid extraction (SFE), with emphasis on which parameters are especially important for a successful analyte collection. Environmental, biological and agricultural applications, including several types of sample matrices and analyte groups, are discussed with respect to choice of collection mode and optimization of collection conditions. This review also includes discussions about collection when a modifier is used or when the sample contains large amounts of fat or water, as well as possibilities to achieve enhanced selectivity.