This study investigated the effects of subcritical fluid extraction on lipid removal and the physicochemical properties of egg yolk powder. In addition, two-step enzymatic hydrolysis was used to improve the physicochemical properties. The content of total lipids and cholesterol decreased to 30.2% and 10.5 mg/g after subcritical propane-butane extraction, respectively, while phospholipids were retained. Protein solubility, surface hydrophobicity and total sulfhydryl results showed that this partial defatting avoided further quality deterioration of egg yolk powder. Scanning electron microscopy and confocal microscopy showed that the surface morphology and distribution of proteins and lipids changed with defatting degree. After two-step enzymatic hydrolysis, protein solubility of subcritical propane-butane extraction egg yolk powder significantly increased to 31.4% and soluble peptides with an average molecular weight lower than 1000 Da accounted for 70.0%. The improved defatted egg yolk powder is rich in protein, peptides and phospholipids and has great potential as a nutritional supplement.