A novel green method to concentrate β-carotene was developed by (i) ethanolysis of triolein using a commercial immobilized lipase (Novozym 435) in a supercritical carbon dioxide (SC-CO2) bioreactor, and (ii) isolation of the produced fatty acid ethyl esters (FAEEs) from the reaction mixtures by taking the advantage of the tunable solvent properties of SC-CO2. The effects of enzymatic reaction conditions (temperature (45–65 °C), pressure (8–15 MPa), enzyme load (10–20%), and substrate mole ratio of triolein to ethanol (1:3–1:9)) on the conversion were investigated and optimized based on the FAEE content of the reaction products. The reaction carried out at 55 °C, 15 MPa, 20% enzyme load, and 1:6 substrate mole ratio in 8 h resulted in the highest FAEE content (93.3%). The isolation of FAEEs from the reaction mixtures was studied using both static and continuous SC-CO2 extractions at various temperatures (40–60 °C) and pressures (10–20 MPa). The highest FAEEs yield (89.9%) was achieved with a continuous extraction at 40 °C and 20 MPa for 4 h, where the FAEE extract (96.3% purity) has a great potential to be used as biodiesel, a sustainable alternative to petroleum diesel. Owing to the high extraction yield of FAEEs from the reaction mixture, the concentration of β-carotene was significantly increased by 9.3-fold. The proposed approach is a green, food-grade approach to produce β-carotene concentrate that can be utilized in smaller amounts to develop functional foods with health-promoting effects.