The separation of fatty acids (as fatty acid methyl esters, FAMEs or free fatty acids, FFAs) by supercritical fluid chromatography (SFC) is reviewed. Different analytical approaches are discussed to separate both FAMEs and FFAs, among these approaches, the tuning of the mobile and the stationary phase are reviewed for open tubular, packed and packed capillary SFC. The approach of tuning the polarity of the stationary phase as a way of increasing the range of polar compounds analyzed by SFC using pure CO2 is widely discussed in this review for compounds such as FFAs avoiding the drawbacks associated to the use of modifiers in SFC. Applications of the analysis of FAMEs and FFAs in different foods are also reviewed.