Fishery by-products represent a valuable yet underutilized source of bioactive lipids with potential applications in food, nutraceutical, and cosmetic industries. In this context, Supercritical fluid extraction (SFE) represents a promising approach for obtaining high-quality extracts without solvent-related safety concerns. This study aims at investigating a sustainable process to obtain extracts rich in bioactive compounds for pharmaceutical and nutraceutical applications from fishing by-products, referring to all the fish that are caught but do not satisfy the market requirements for size or shape. The extraction parameters were determined using a 3-variables Box–Behnken Design (time, temperature and pressure). The 100 min, 400 bar and 40 °C process was selected and applied to five different fish species. In each extract vitamin D3 and 7-dehydrocholesterol were quantified using HPLC-DAD and the fatty acids profile was characterized in GC-MS. The waste products, especially those from sardine and anchovy, exhibited a noteworthy vitamin D3, 7-dehydrocholesterol, and omega-3 fatty acids composition. This research represents a further step in daily fishing waste reuse as a source of high-value extracts.