The extraction of carotenoids and chlorophylls using carbon dioxide modified with ethanol as a cosolvent is an alternative to solvent extraction because it provides a high-speed extraction process. In the study described here, carotenoid and chlorophyll extraction with supercritical CO2 + ethanol was explored using freeze-dried powders of three microalgae (Nannochloropsis gaditana, Synechococcus sp. and Dunaliella salina) as the raw materials. The operation conditions were as follows: pressures of 200, 300, 400 and 500 bar, temperatures of 40, 50 and 60°C. Analysis of the extracts was performed by measuring the absorbance and by using empirical correlations. The results demonstrate that it is necessary to work at a temperature of 50–60°C and a pressure range of 300–500 bar, depending on the type of microalgae, in order to obtain the highest yield of pigments. The best carotenoid/chlorophyll ratios were obtained by using supercritical fluid extraction + cosolvent instead of using conventional extraction. The higher selectivity of the former process should facilitate the separation and purification of the two extracted pigments.