In recent years, using dairy phospholipids (PL) as functional ingredients has increased because PL have nutritional benefits and functional properties. In this study, a novel 2-step supercritical fluid extraction (SFE) process was used to extract whey protein phospholipid concentrate (WPPC), a dairy co-product obtained during the manufacture of whey protein isolate, for PL enrichment. In the first step, nonpolar lipids in WPPC were removed using neat supercritical carbon dioxide (S-CO) at 41.4 MPa and 60°C. In the second stage, the feasibility of using the polar solvent ethanol as a co-solvent to increase the solubility of S-CO extraction solvent was explored. A 3 × 3 × 2 factorial design with extraction pressure (35.0, 41.4, and 55.0 MPa), temperature (40 and 60°C), and concentration of ethanol (10, 15, and 20%) as independent factors was used to evaluate the extraction efficiency providing the most total PL, and the best proportion of each individual PL from the spent solids collected during S-CO SFE. All lipid fractions were analyzed using thin-layer chromatography and high-performance lipid chromatography. The total amount of PL extracted from WPPC was significantly affected by ethanol concentration; the extraction pressure and temperature were nonsignificant. The optimal SFE condition for generating a concentrated PL lipid fraction was 35.0 MPa, 40°C, and 15% ethanol concentration; the highest amount of extracted PL averaged 26.26 g/100 g of fat. Moreover, adjusting SFE condition allowed successful recovery of a high concentration of sphingomyelin, phosphatidylcholine, and phosphatidylethanolamine, giving averages of 11.07, 10.07, and 7.2 g/100 g of fat, respectively, 2 to 3 times more than conventional solvent extraction. In addition, exhausted solids obtained after the SFE process were enriched with denatured proteins (72% on dry basis) with significantly more water-holding capacity and emulsifying capacity than untreated WPPC. Overall, this 2-stage SFE process using neat S-CO and ethanol has the greatest potential to produce a PL-rich lipid fraction from WPPC.