Response surface methodology (RSM) was used for the determination of optimum extraction parameters to reach maximum lipid extraction yield with yeast. Total lipids were extracted from oleaginous yeast (Rhodotorula glutinis) using pressurized liquid extraction (PLE). The effects of extraction parameters on lipid extraction yield were studied by employing a second-order central composite design. The optimal condition was obtained as three cycles of 15 min at 100 °C with a ratio of 144 g of hydromatrix per 100 g of dry cell weight. Different analysis methods were used to compare the optimized PLE method with two conventional methods (Soxhlet and modification of Bligh and Dyer methods) under efficiency, selectivity and reproducibility criteria thanks to gravimetric analysis, GC with flame ionization detector, High Performance Liquid Chromatography linked to Evaporative Light Scattering Detector (HPLC-ELSD) and thin-layer chromatographic analysis. For each sample, the lipid extraction yield with optimized PLE was higher than those obtained with referenced methods (Soxhlet and Bligh and Dyer methods with, respectively, a recovery of 78% and 85% compared to PLE method). Moreover, the use of PLE led to major advantages such as an analysis time reduction by a factor of 10 and solvent quantity reduction by 70%, compared with traditional extraction methods.