The unsaponifiable fraction of oils and fats constitutes a very small fraction but it is an essential part of the healthy properties of some specific oils. It is a complex fraction formed by a large number of minor compounds and it is a source of information to characterize and authenticate the oil sample. Specially, the composition of sterols of any oil or fat is a distinctive feature of itself and, therefore, it has become a useful tool for detecting contaminants and adulterants in oils. A new supported liquid extraction (SLE) technique for the analysis and characterization of the unsaponifiable fraction of fats and oils is proposed. The SLE system includes, as a stationary phase, a combination of adsorbent materials which allow a highly purified unsaponifiable matter ready to be isolated by high performance liquid chromatography (HPLC) and quantified by gas chromatography (GC). This method ensures the removal of fatty acids, avoiding possible interferences and making the analysis of sterols and triterpenic dialcohols easier. The procedure uses a small sample size (0.2 g), reduces the volume of solvents and reagents, and reduces the handling of samples subjected to analytical control. All this is achieved without losing either precision—a relative standard deviation of each compound lower than the reference value (≤16.4%)—or recovery, being for all compounds higher than 88.00%. Therefore, this new technique represents a significant economic and time saving in business control laboratories, a larger productivity and enhancement of working safety.