Astaxanthin and lutein, antioxidants used in nutraceutics and cosmetics, can be extracted from several microalgal species. In this work, investigations on astaxanthin and lutein extraction from Haematococcus pluvialis (H. pluvialis) in the red phase were carried out by means of the supercritical fluid extraction (SFE) technique, in which CO2 supercritical fluid was used as the extracting solvent with ethanol as the co-solvent. The experimental activity was performed using a bench-scale reactor in semi-batch configuration with varying extraction times (20, 40, 60, and 80 min), temperatures (50, 65, and 80 °C) and pressures (100, 400, and 550 bar). Moreover, the performance of CO2 SFE with ethanol was compared to that without ethanol. The results show that the highest astaxanthin and lutein recoveries were found at 65 °C and 550 bar, with ~18.5 mg/g dry weight (~92%) astaxanthin and ~7.15 mg/g dry weight (~93%) lutein. The highest astaxanthin purity and the highest lutein purity were found at 80 °C and 400 bar, and at 65 °C and 550 bar, respectively.