The oil yield and fatty acids composition of the extracted oils using different pressure were analyzed using GC–MS in this study. The extraction of peony seeds oil using atmospheric pressure had the lowest oil yield. More importantly, the results indicated that the extraction using atmospheric pressure led to the absence of 9,12,15-octadecatrienoic acid in the oil. A relatively lower extraction pressure (i.e., 350 MPa) resulted in a maximum fatty acids number as high as 11, containing four different fatty acids, i.e., tetradecanoic acid, pentadecanoic acid, 17-octadecenoic acid, and 9-octadecenoic acid, which might be associated with an accelerated enzymes reaction occurred during the extraction. In contrast, the unsaturated fatty acids content in the extracted oil reached the maximum level when the extraction pressure was applied to be 500 MPa, and its corresponding fat acidity also had the lowest level of 3.5 mg 100 g−1 among all the extracted samples. This study suggests that the extraction of peony seeds oil using UHP is proved to be preferable in terms of oil yield and, in particular the oil quality.