The invention discloses a method for extracting thermo-sensitive euphausia superb grease. The method comprises the following steps: firstly thawing and mincing the frozen raw euphausia superb; addinga surfactant to form a supercritical micelle system; pressurizing and liquedifying a mixed gas, and extracting the euphausia superb for multiple times; adding low carbon alcohol to perform reverse extraction for substances in the clinical micelle; after the extraction is completed, removing an extraction agent; and collecting the extraction residues and an extraction product, and centrifugally separating the extraction product at a high speed, thus obtaining the thermo-sensitive euphausia superb grease. The extraction method of the invention is simple in operation, low in extraction pressure and high in safety. The gas pressurizing liquefying extraction way is completed under a low-temperature sealing condition, so that physical and chemical characteristics and nutrition ingredients of thetarget product phospholipid and astaxanthin can be prevented from being damaged. In addition, the grease of the wet euphausia superb can be directly extracted, so that the technological process for preparing the euphausia superb grease can be simplified, the energy consumption can be reduced, the production cost can be greatly reduced, and the production efficiency can be improved.