Spent coffee grounds are a promising bioresource that naturally contain around 50 wt% moisture which requires, for a valorization, a drying step of high energy and economic costs. However, the natural water in spent coffee grounds could bring new benefits as a co-solvent during the supercritical CO2 extraction (SC-CO2). This work reports the influence and optimization of pressure (115.9–284.1 bars), temperature (33.2–66.8 °C), and moisture content (6.4–73.6 wt%) on simultaneous extraction of lipids and polar molecules contained in spent coffee grounds by supercritical CO2 (SC-CO2) using Central Composite Rotatable Design and Response Surface Methodology. The results show that for lipids extraction, pressure is the most influent parameter, although the influence of moisture content is statistically negligible. This suggests that water does not act as barrier to CO2 diffusion in the studied area. However, moisture content is the most influent parameter for polar molecules extraction, composed of 99 wt% of caffeine. Mechanism investigations highlight that H2O mainly act by (i) breaking caffeine interactions with chlorogenic acids present in spent coffee grounds matrix and (ii) transferring selectively caffeine without chlorogenic acid by liquid/liquid extraction with SC-CO2. Thus, the experiment for the optimization of lipids and polar molecules extraction is performed at a pressure of 265 bars, a temperature of 55 °C, and a moisture content of 55 wt%.