Walnut (Juglans regia L.) oil was extracted with compressed carbon dioxide (CO2) in the temperature range of 308 to 321 K and in the pressure range of 18 to 23.4 MPa. The influence of particle size was also studied at a superficial velocity of 0.068 cm/s, within a tubular extractor of 0.2 L capacity (cross-sectional area of 16.4 cm2). FFA, sterol, TAG, and tocopherol compositions were not different from those of oil obtained with n-hexane. The main FA was linoleic acid (56.5%), followed by oleic acid (21.2%) and linolenic acid (13.2%). The main TAG was LLL (linoleic, linoleic, linoleic) (24.4%), followed by OLL (oleic, linoleic, linoleic) (19.6%) and LLLn (linoleic, linoleic, linolenic) (18.4%). The main component of sterols was β-sitosterol (85.16%), followed by campesterol (5.06%). The amount of cholesterol was low (0.31 and 0.16% for oils extracted by n-hexane and supercritical fluid extraction, respectively. The CO2-extracted oil presented a larger amount of tocopherols (405.7 μg/g oil) when compared with 303.2 μg/g oil obtained with n-hexane. Oxidative stability determined by PV and the Rancimat method revealed that walnut oil was readily oxidized. Oil extracted by supercritical CO2 was clearer than that extracted by n-hexane, showing some refining. A central composite, nonfactorial design was used to optimize the extraction conditions using the software Statistica, Version 5. The best results were found at 22 MPa, 308 K, and particle diameter (Dp) −0.1 mm.