The present invention relates to an analysis system that is applied to rapid automatic analysis and detection of highly lipophilic components and a method for rapidly detecting vitamin D in an oil or fat, or a biological sample. In the present invention, online pretreatment and separation of a sample containing highly lipophilic components in a sample to be analyzed are performed by a multidimensional chromatography system. The multidimensional chromatography system includes a supercritical chromatography part and a reverse phase liquid chromatography part sequentially connected, the reverse phase liquid chromatography part including one or more reverse phase liquid chromatography columns, and the supercritical chromatography part including a supercritical mobile phase, a modifier, and a supercritical packed column.