Peppers of the Capsicum genus have a rich nutritional composition and are widely consumed worldwide. Thus, they find numerous applications in the food, pharmaceutical and cosmetic industries. One commercial application is oleoresin production, a nonpolar fraction rich in bioactive compounds, including capsaicinoids and carotenoids. Among the technologies for pepper processing, special attention is given to supercritical fluid technologies, such as supercritical fluid extraction (SFE) with pure solvents and CO plus modifiers, and SFE assisted by ultrasound. Supercritical fluid-based processes present advantages over the classical extraction techniques like using less solvents, short extraction times, specificity and scalability. In this review, we present a brief overview of the nutritional aspects of peppers, followed by studies that apply supercritical fluid technologies to produce extracts and concentrate bioactives, besides oleoresin encapsulation. Furthermore, we present related phase equilibrium, cost estimation, and the gaps and needs for the full use of peppers from a sustainable perspective.