This review summarizes and discusses recent advances and applications of on‐line supercritical fluid extraction coupled to liquid chromatography, gas chromatography, and supercritical fluid chromatographic techniques. Supercritical fluids, due to their exceptional physical properties, provide unique opportunities not only during the extraction step but also in the separation process. Although supercritical fluid extraction is especially suitable for recovery of non‐polar organic compounds, this technique can also be successfully applied to the extraction of polar analytes by the aid of modifiers. Supercritical fluid extraction process can be performed following “off‐line” or “on‐line” approaches and their main features are contrasted herein. Besides, the parameters affecting the supercritical fluid extraction process are explained and a “decision tree” is for the first time presented in this review work as a guide tool for method development. The general principles (instrumental and methodological) of the different on‐line couplings of supercritical fluid extraction with chromatographic techniques are described. Advantages and shortcomings of supercritical fluid extraction as hyphenated technique are discussed. Besides, an update of the most recent applications (from 2005 up to now) of the mentioned couplings is also presented in this review.