Brazilian redspotted shrimp (Farfantepenaeus paulensis) waste is an important source of carotenoids such as astaxanthin and lipids with a high ω−3 fatty acids content, mainly docosahexaenoic acid (DHA) and eicosapentaenoic acid (EPA). In order to establish an efficient and environmental friendly recovery process, the lipids and astaxanthin were extracted from the freeze-dried redspotted shrimp waste (including head, tail and shell) using supercritical carbon dioxide. The effects of the extraction conditions of pressure (200–400 bar) and temperature (40–60 °C) on the global yield (X0), astaxanthin extraction yield and astaxanthin concentration in the extract were evaluated. It was found that the pressure and temperature showed a very low significant effect on the lipid extraction yield using supercritical CO2. In comparison with lipid extraction by solvents, maximum efficiency of supercritical fluid extraction achieved 64% of hexane extraction yield. On the other hand, temperature and pressure had significant effects on astaxanthin extraction yield. Thegreatest amount of extract was obtained at 43 °C and 370 bar, with 39% of recovery.