A series of tungsten oxide-silica (WO3–SiO2) composite nanomaterials were synthesized through a novel, template-free sol-gel method, in which supercritical-CO2 (scCO2) was utilized as synthesis medium. The efficacy of the synthesis method stems from a tailored reactor design that allows the contact of the reactants only in the presence of scCO2. Selected synthetic parameters were screened with the purpose of enhancing the performance of the resulting materials as heterogeneous catalysts in epoxidation reactions with H2O2 as environmentally friendly oxidant. A cyclooctene conversion of 73% with epoxide selectivity of > 99% was achieved over the best WO3–SiO2 catalyst under mild reaction conditions (80 °C), equimolar H2O2 amount (1:1) and low WO3 loading (~2.5 wt%). The turnover number achieved with this catalyst (TON = 328), is significantly higher than that of a WO3–SiO2 prepared via a similar sol-gel route but without supercritical CO2, and that of commercial WO3. A thorough characterization with a combination of techniques (ICP-OES, N2-physisorption, XRD, TEM, STEM-EDX, SEM-EDX, FT-IR and Raman spectroscopy, XPS, TGA and FT-IR analysis of adsorbed pyridine) allowed correlating the physicochemical properties of the WO3–SiO2 nanomaterials with their catalytic performance. The high catalytic activity was attributed to: (i) the very high surface area (892 m2/g) and (ii) good dispersion of the W species acting as Lewis acid sites, which were both brought about by the synthesis in supercritical CO2, and (iii) the relatively low hydrophilicity, which was tuned by optimizing the tetramethyl orthosilicate concentration and the amount of basic solution used in the synthesis of the materials. Our optimum catalyst was also tested in the reaction of cyclohexene with H2O2, resulting in cyclohexane diol as main product due to the presence of strong Brønsted acid sites in the catalyst, whereas the reaction with limonene yielded the internal epoxide as the major product and the corresponding diol as side product. Importantly, the catalyst did not show leaching and could be reused in five consecutive runs without any decrease in activity.