Pleurotus eryngii (PE) has been sought after for its various health benefits and high content of phenolic compounds. This study explored the feasibility of steam explosion (SE)-assisted extraction of polysaccharides with high antioxidant capacities from PE. An orthogonal experimental design (OED) was used to optimize the SE-assisted extraction of PE. The influence of the optimized SE-assisted extraction on the physicochemical properties of PE polysaccharides was determined by scanning electron microscopy (SEM), Fourier transform infrared spectroscopy (FTIR), monosaccharide compositional analysis and antioxidant capacity assays. Under optimal SE conditions, SE-assisted extraction increased the polysaccharide yield by 138% compared to extraction without SE-assistance. In addition, SEM demonstrated that SE-assisted extraction markedly altered the spatial structure of Pleurotus eryngii polysaccharides (PEP), and monosaccharide compositional analysis revealed that this pretreatment significantly increased the proportions of some monosaccharides, such as glucose, rhamnose and arabinose, in the isolated PEP. FTIR spectra indicated no change in the major chemical functional groups of PEP. PEP extracted by SE-assisted extraction had significantly increased free radical scavenging and antioxidant capacities. In conclusion, SE-assisted extraction appears to be a novel polysaccharide extraction technology, which markedly increases extraction yields and efficiency and can increase the biological activity of polysaccharide extracts.