In the preparation of metal oxide composite materials, the common organic solvents limit the homogenous dispersion of guest component on substrate for their high viscosity, surface tension and low diffusivity. Herein, we take advantage of the unique properties of supercritical carbon dioxide (scCO2) to successfully deposit uniform CoFe2O4 nanoparticles (CFO NPs) on the surface of graphene without need of surfactants or precipitants. The obtained CFO NPs are 8–10 nm in size and homogeneously anchored on graphene sheets as spacers to reduce the degree of graphene restacking. Additionally, the effects of pressure and solvent on the crystallinity, dispersion and particle size of the NPs are discussed. The CFO@G-CE composite synthesized in scCO2-expanded ethanol exhibits excellent cyclability and significantly improved rate capability than the CFO@G-E in pure ethanol and CFO@G-NE in the mixture of high pressure nitrogen and ethanol. It is certified, by the structural and morphological analyses of the intermediates and phase observations, that the reaction medium greatly affects the dispersion and size of the particles, and thus influences their electrochemical performances. The proposed strategy is shortcut (reaction time: 2 h) and effective in execution, hence, we hope that the presented strategy would encourage further studies on other hybrid nanomaterials fabrication.