Coarse bran and shorts (razmol) are by-products of wheat milling. The important functional and bioactive components of wheat are separated during milling along with the bran and razmol. Supercritical CO2 extraction process is an environmentally friendly application that is used effectively in the recovery of functional and bioactive components. In this study, the functional components of the extracts obtained by supercritical CO2 extraction at different pressures from wheat bran and razmol were investigated and compared. It was found that the total phenolics content and antioxidant activity of razmol extracts increased with the increase of applied pressure. It was determined that the total polyunsaturated fatty acid content of the bran extracts increased from 55% to 59% with the increase in pressure, however, there was no significant change in the razmol extracts and it was around 57%. It was observed that the FTIR spectra of the extracts obtained by supercritical CO2 extraction of wheat bran and razmol were similar to the spectra of edible vegetable oils and wheat germ oil. However, in the obtained spectra, it was determined that CO2 peaks occurred at 2357 cm−1 with the application of supercritical CO2 extraction. Apart from this, differences were observed in the fingerprint region due to the fact that the extracts contain different bioactive compounds. The change in pressure applied in supercritical CO2 extraction caused changes in the extract profiles. In addition, in this study, it was determined that bran and razmol extracts were different in terms of extract yield and amount of bioactive components. Practical applications: In the milling industry, a significant amount of bran and razmol are separated as by-products. This study provides guidance on the recovery of valuable components from these by-products with an inexpensive and environmentally friendly application. In addition, by revealing the functional properties of the extracts obtained, it helps to evaluate their possible use in the food industry.