Compared to the traditional solvent extraction method, not only the hydrocarbon compounds such as α-carotene and β-carotene but also the oxygenated carotenoids such as lutein were recovered by SC-CO2 extraction. Canola oil, used as a co-solvent, can greatly increase the extraction yield of carotenoids (for α- and β-carotene, by a factor of 2 and for lutein, by a factor of 4). In the region of experimental parameters studied, highest carotenoids yield was obtained from 0.25–0.5 mm dried carrot particles at the extraction conditions of 70 °C, 55.1 MPa, 5% canola oil addition (w/w), and 2 L/min (measured at ambient conditions) CO2 flow rate. The extraction yield of total carotenoids with SC-CO2 extraction under these conditions was substantially higher than that obtained by traditional solvent extraction. Continuously pumping a vegetable oil into SC-CO2 as a co-solvent is a novel approach for the recovery of “natural” carotenoids.