The purpose of this paper is to guide lectors in the extraction of algal (microalgae and seaweeds) compounds using supercritical carbon dioxide (SC-CO2) from dry biomass. It proposes a review of 30 articles dealing with the SC-CO2 extraction of molecules of interest from microalgae and seaweeds. Among these papers, 20 are devoted to microalgae. The most extracted compounds are neutral lipids and antioxidants. Several operating conditions have been tested: pressures from 7.8 to 70 MPa, temperatures from 313.15 to 349.15 K, and CO2/algae mass ratio from 6 to 500. All extraction studies were performed at laboratory scale, with the masses of dry algae powder never exceeding 180 g. Extraction yields vary significantly with operating conditions: pressure seems to be the most influential parameter. The higher the pressure, the higher the yields and/or the faster the extraction kinetics. Temperature also has an influence, but its effect is dependent on pressure (retrograde behavior). Moreover, as expected, it is advised to work with a high CO2/algae mass ratio. From these works, it appears that, to perform an efficient extraction with SC-CO2, the influence of the algae pretreatment is highly significant. The first step is a centrifugation. The resulting concentrated algal suspension must then undergo a drying operation, which is generally freeze-drying or low-temperature drying. Finally, the algae are crushed. Concerning the influence of crushing, the reported results show that, as expected, the smaller the particles, the more rapid the extraction kinetics and/or the higher the yields.