Achillea millefolium L. is a plant widely used in traditional medicine. Nowadays, there is a growing concern about the study of its bioactive properties in order to develop food and nutraceutical formulations. Supercritical anti-solvent fractionation (SAF) of an A. millefollium extract was carried out to improve its antioxidant and anti-inflammatory activities. A selective precipitation of phenolic compounds was achieved in the precipitation vessel fractions, which presented an antioxidant activity twice than original extract, especially when fractionation was carried out at 10 MPa. The main phenolic components identified in this fraction were luteolin-7-O-glucoside, 3,5-dicaffeoylquinic acid, 6-hidroxyluteolin-7-O-glucoside and apigenin-7-O-glucoside. However, separator fractions presented higher anti-inflammatory activity than precipitation vessel ones, particularly at 15 MPa. This fact could be related to separator fractions enrichment in anti-inflammatory compounds, mainly camphor, artemisia ketone and borneol. Therefore, SAF produced a concentration of antioxidant and anti-inflammatory compounds that could be used as high-added valued ingredients.