In this study, the effect of ethanol addition to supercritical carbon dioxide (scCO2) on the extraction of astaxanthin and ω-3 fatty acid (EPA + DHA, mainly) from redspotted shrimp waste (Farfantepenaeus paulensis) was investigated. The co-solvent was used in the ratios of 5, 10 and 15% wt. and the conditions of temperature and pressure (300 bar and 50 °C) were adopted according to results achieved of the highest total extraction yield of lipids and astaxanthin in preliminary tests without the use of co-solvent. Results showed that the addition of ethanol conferred a significant improvement on the extraction yields of lipids and astaxanthin, and also increased the proportion of ω-3 fatty acids in the lipids of the extracts. An increase of 136% was reaching in the total lipid extraction yield when the proportion of ethanol was increased from 5% to 15% wt. Maximum recoveries of 93.8% and 65.2% for lipids and astaxanthin, respectively, with regard to the initial content in the waste occurred when the condition using the maximum proportion (15% wt.) of ethanol in the scCO2/ethanol mixture was used. The best results for the recovery of EPA and DHA were also obtained under this condition, showing that supercritical extraction employing entrainers could be a competitive technology as compared to organic solvent extraction.