This work demonstrates that supercritical carbon dioxide extraction is efficient for the complete recovery of neutral lipids from microalgae with a water content up to 20 wt%, allowing thus a further full characterization of this oil. This is a first useful step in the framework of lipid production from microalgae either for nutraceutical, food or for energy applications. This study is particularly focused on the influence of the pretreatments upon extraction kinetics and yields. This study proposes a complete study at laboratory scale (10 g per batch of dry biomass) of the influence of pretreatments (type of drying and grinding) and of water content on the extraction kinetics and yields as well as on the oil composition in terms of lipidic classes and profiles. Two drying pretreatments (drying under air flow and freeze-drying) applied on Nannochloropsis oculata were studied. Extraction experiments were carried out at 40 MPa, 333 K, with a carbon dioxide flow rate of 0.5 kg h−1 and for different granulometries. Results showed that drying under air flow at 308 K is the most adequate pretreatment leading to the most rapid kinetics. Whatever the pretreatment used, the extracted oil contains more than 90 wt% of triglycerides and does not contain phospholipids. As expected, the smaller the particle size, the faster the extraction kinetics. Finally, an increase in the biomass water content up to 20 wt% increases the global extraction kinetics (extraction of both water and oil) but appears to have no influence on oil extraction yields. Moreover, the extraction of neutral lipids happens to be complete for a CO2/charge mass ratio ranging from 30 to 130 depending on the operating conditions and on the characteristics of the treated biomass. Finally, pilot scale experiments were performed with batches up to 15 kg in order to evaluate the influence of pressure and particle size on the extraction kinetics and yields. Extracts obtained at 333 K with operating pressures of 50 MPa and 85 MPa have similar compositions and do not contain phospholipids.