Anchovy oil was extracted using supercritical carbon dioxide ($SCO_2$) and organic solvents. Extraction was carried out at temperature range from 40 to $60^{circ}C$, and pressure range from 15 to 25 MPa. The flow rate of $CO_2$ (22 $gmin^{-1}$) was constant entire the extraction period of 1.5 h. The fatty acid composition of anchovy oil was analyzed by gas chromatography (GC). The main fatty acids of anchovy oil were myristic acid, palmitic acid, stearic acid, palmitoleic acid, EPA (eicosapentaenoic acid), and DHA (docosahexaenoic acid). In addition, the oil obtained by $SCO_2$ extraction contained a higher percentage of polyunsaturated fatty acids especially EPA and DHA comparing to the organic solvent extracted oil. The oxidative stability of oils extracted from Anchovy by $SCO_2$ extraction was compared to those extracted by organic solvents. Results showed that the storage periods of oils obtained by $SCO_2$ extraction were longer than those of organic solvents extraction.