Supercritical CO2 (SCCO2) fluid, which has gas-like diffusivity, extremely low viscosity, and near-zero surface tension, is used to synthesize SnO2 nanoparticles (a 1-nm diameter is achievable), which are uniformly dispersed and tightly anchored on graphene nanosheets (GNSs) and carbon nanotubes (CNTs). The discharge capacity, rate capability, and cyclic stability of the synthesized SnO2/GNS and SnO2/CNT nanocomposites are compared. This study also tunes the SCCO2 temperature (and thus its fluid density) and finds that this factor crucially affects the SnO2 size and distribution, determining the resulting electrochemical properties. The sodiation/desodiation mechanism of the SnO2/GNS electrode is examined using synchrotron ex situ X-ray absorption and X-ray diffraction techniques, together with transmission electron microscopy. We confirm that while the oxide conversion reaction is reversible, the sluggish Sn–Na alloying/dealloying reaction is responsible for the lower measured capacity as compared to the theoretical value. The first-cycle efficiency loss is mainly attributed to the trapping of Na in the electrode surface solid electrolyte interphase layer.