This work proposes a sequential high-pressure extraction to recover bioactives from biquinho peppers. The nonpolar fraction was extracted with supercritical carbon dioxide (sc−CO2). Then, the sc−CO2 extracted biquinho pepper (EBP) was submitted to pressurized liquid extraction (PLE) using ethanol and water mixtures (50%, 75%, 100% ethanol) at different temperatures (45, 55, 65 °C) to recover compounds of higher polarity. The sc−CO2 extraction yield was 4.75%, with capsiate concentration of 8.67 mg/g oleoresin. In PLE, the solvent composition influenced the extraction yield and quality. Sixteen phenolics were identified in PLE extracts by UHPLC-MS/MS. Rutin isomer and vicenin-2 were quantified. The highest concentration of rutin isomer (441 μg/g extract) was obtained with pure ethanol whereas, for vicenin-2, the best solvent was 50% ethanol (299 μg/g extract). Considering the extraction of total phenolics, 75% ethanol was the most effective solvent. sc−CO2 extraction followed by PLE is an interesting alternative to obtain bioactives from peppers.