The supercritical fluid extraction (SFE) of wheat bran oil with pure supercritical carbon dioxide at different extraction pressures (25, 40, and 55 MPa) and temperatures (40, 70, and 95°C) has been studied. Since wheat bran contains important bioactive compounds such as alkylresorcinols (AR) and other phenolic compounds, the content of these compounds in the extracted oil was evaluated in order to establish oil quality. The influence of extraction pressure and temperature and wheat bran moisture on the extraction yield and oil quality was studied. Oil quality was evaluated through parameters such as AR content and profile, total polyphenols index (TPI), antioxidant activity, and fatty acids profile. SFE performed over fresh wheat bran at 55 MPa and 95°C was found to provide wheat bran oil with the highest AR and phenolic content and antioxidant capacity of all the runs performed in this work. Some SFE experiments focused on oil fractionation showed that this technique can provide oil fractions enriched with AR and phenolic compounds.