An analytical method based on Ultra-High-Performance Sub/Supercritical Fluid Chromatography (UHPSFC) coupled with High-Resolution Mass Spectrometry (HR-MS) equipped with an Atmospheric Pressure Chemical Ionisation source (APCI-Q-TOF-HRMS) was developed for the screening of various compounds in oily samples. The hyphenation was achieved using a hybrid UHPSFC system for the vegetable oil analysis, mainly composed of fatty acids, diacylglycerols, triacylglycerols but containing also some minor bioactive compounds. No split was used with this ionisation source in this optimized configuration, allowing the introduction of all compounds in the mass spectrometer, ensuring a better sensitivity. This configuration is preserving peak shapes and efficiency because the dead volume of this interface is optimized by the supplier for the hyphenation with open cell detectors such as Evaporative Light Scattering Detector (ELSD) or MS detectors. The influence of analytical conditions (UHPSFC and APCI parameters) on MS response was studied to understand the behaviour of analytes in UHPSFC-APCI-MS. The tested parameters were: the corona discharge value, the nebulising gas pressure, the drying gas flow rate, MS source temperature and the mobile phase flow rate (at constant modifier percentage). A factorial experimental design was carried out for this study, which displayed the major and negative role of increased nebulising gas pressure. The factorial design was renewed with the four remaining parameters, allowing to enlighten and explain their different effects on MS responses. Finally, some vegetable oils were analysed by UHPSFC-APCI-HRMS with these optimal conditions to determine the chemical structures of unknown compounds from oily samples.