Willow gentian (Gentiana asclepiadea L., Gentianaceae) is a medicinal plant widely used in ethnopharmacology as a bitter tonic and for gastrointestinal and liver diseases. This study compared and optimized conventional heat-assisted extraction (HAE) and advanced microwave-assisted extraction (MAE) of bioactive compounds from willow gentian underground parts. Four key operating conditions for both extraction systems were optimized separately (A: extraction time, B: ethanol concentration, C: liquid to solid ratio, and D: extraction temperature for HAE or microwave power for MAE) employing response surface methodology (RSM). Optimization aimed to maximize the recovery of four major individual secondary metabolites (gentiopicroside, isoorientin, isovitexin, and isogentisin), as well as total polyphenols, simultaneously. The predicted optimal operating conditions were A: 160.87 min, B: 56.73% (v/v), C: 50.00 ml/g, and D: 62.24 °C for HAE and A: 9.64 min, B: 37.64% (v/v), C: 50.00 ml/g, and D: 511.95 W for MAE. The experimentally obtained responses of all monitored compounds under optimal conditions were in close agreement with the predicted values, suggesting appropriate predictive accuracy of the developed RSM models. Responses of all compounds were slightly higher in the case of HAE (about 10–15%). Nevertheless, MAE as a method that significantly accelerates the extraction process and reduces ethanol consumption, could be a valuable alternative approach for the extraction of bioactive compounds from willow gentian underground parts.