Supercritical fluid extraction (SFE), which has received much interest in its use and further development for industrial applications, is a method that offers some advantages over conventional methods, especially for the palm oil industry. SC-CO₂ refers to supercritical fluid extraction (SFE) that uses carbon dioxide (CO₂) as a solvent which is a nontoxic, inexpensive, nonflammable, and nonpolluting supercritical fluid solvent for the extraction of natural products. Almost 100% oil can be extracted and it is regarded as safe, with organic solvent-free extracts having superior organoleptic profiles. The palm oil industry is one of the major industries in Malaysia that provides a major contribution to the national income. Malaysia is the second largest palm oil and palm kernel oil producer in the World. This paper reviews advances in applications of supercritical carbon dioxide (SC-CO₂) extraction of oils from natural sources, in particular palm oil, minor constituents in palm oil, producing fractionated, refined, bleached, and deodorized palm oil, palm kernel oil and purified fatty acid fractions commendable for downstream uses as in toiletries and confectionaries.