Walnut oils were obtained by supercritical carbon dioxide extraction (SCB), cold-pressing (CP), hexane extraction (HE), and subcritical butane extraction (SBE), and walnut protein isolates (WPI) from the walnut cakes were performed. The results indicate that SCB has the highest oil yield for walnut oil, which was 62.72%, and the total content of trace nutrients (total tocopherols, total phytosterols, and total phenolic compounds) in SCB-walnut oil was also the highest at 2186.75 mg/kg, approximately 1.05 times higher than CP-walnut oil and 1.21 times higher than SBE-walnut oil. Meanwhile, the treatment of WPI with SCB results in a decrease in β-Sheet and α-Helix structures and an increase in β-Turn and Random coil structures. Thereby increasing its oil-holding capacity (OHC) and solubility by approximately 1.16 times and 1.27 times compared to CP, respectively. Interestingly, SCB as a green oil production technology, also has good prospects for retaining WPI functionality characteristics.