Quantification of liposoluble micronutrients in large-scale vegetable oil samples is urgently needed, because their health benefits are increasingly emphasized. However, current analytical methods are limited to either labor-intensive preparation processes or time-consuming chromatography separation. In this work, an online oil matrix separation strategy for direct, rapid, and simultaneous determination of squalene, tocopherols, and phytosterols in walnut oil (WO) was developed on the basis of the lipid class separation mode of supercritical fluid chromatography. A single run was completed in 13 min containing 6 min of column cleaning and balancing. Satisfactory limit of detections (0.05-0.20 ng/mL), limit of quantifications (0.15-0.45 ng/mL), recoveries (70.61-101.44%), and matrix effects (78.43-91.62%) were achieved, indicating the reliability of this method. In addition, eight sterol esters were identified in WO, which have not previously been reported. The proposed method was applied to characterize the liposoluble micronutrient profile of WO samples obtained from different walnut cultivars, geographical origins, and processes.