Ethanol and starch are the main products generated after the processing of corn via dry grinding and wet milling, respectively. Milling generates byproducts including stover, condensed distillers’ solubles, gluten meal, and the dried distillers’ grains with solubles (DDGS), which are sources of valuable compounds for industry including lignin, oil, protein, carotenoids, and phenolic compounds. This manuscript reviews the current research scenario on the valorization of corn milling byproducts with supercritical technology, as well as the processing strategies and the challenges of reaching economic feasibility. The main products recently studied were biodiesel, biogas, microcapsules, and extracts of enriched nutrients. The pretreatment of solid byproducts for further hydrolysis to produce sugar oligomers and bioactive peptides is another recent strategy offered by supercritical technology to process corn milling byproducts. The patents invented to transform corn milling byproducts include oil fractionation, extraction of undesirable flavors, and synthesis of structured lipids and fermentable sugars. Process intensification via the integration of milling with equipment that operates with supercritical fluids was suggested to reduce processing costs and to generate novel products.