In the supercritical CO2 (SC-CO2) extraction of docosahexaenoic acid (DHA) from microalgae, most entrainers such as ethanol have to be removed from the final product, which takes energy and time. Using edible vegetable oils as entrainers would solve this problem because there is no need to separate them from the products due to their food safety. In this study, seven vegetable oils from canola, maize, olive, peanut, sesame, soybean, or sunflower were assessed as entrainers for SC-CO2 extraction of DHA from Schizochytrium limacinum. All vegetable oils outperformed ethanol in DHA yield, as well as in DHA extraction efficiency except sunflower oil which performed no better than ethanol. The current investigation has not only confirmed the effectiveness of vegetable oils as entrainer in algal DHA extraction, but also directly generated new lipid products in which DHA, a necessary nutrient but typically lack in vegetable oils, was included. Our results also revealed that vegetable oils played the leading role in determining fatty acid profiles of the lipid products, it is therefore possible to adjust and optimize fatty acid compositions of the DHA products to better meet specific human demands on lipid diets by selecting certain vegetable oils. In addition, the algal residue left after oil extraction was suitable for use as feed supplement. Taken together, our new approach based on vegetable oil entrainers has led to better DHA recovery from algae and application through the SC-CO2 extraction.