Wheat bran is a very interesting feedstock for lignocellulosic biorefineries. The recovery of proteins, oil and phytochemicals can be integrated with the fractionation of polysaccharides and lignin, adding value to a multi-product biorefinery concept. After reviewing the work previously reported in the literature concerning the use of sc-CO2 and subcritical and supercritical water, the present manuscript proposes a sequential cascade process to obtain most of the valuable components of wheat bran. Six sequential steps are proposed: (1) De-fatting with sc-CO2 at 30 MPa and 70 degrees C, (2) Phenolic lipids recovery with sc-CO2 at 40 MPa and 80 degrees C, (3) De-starching assisted with ultrasounds, using water at 55 degrees C for 7 min, (4) Protein and lignin recovery with NaOH at 80 degrees C and pH = 9.3, (5) Recovery of xylose and arabinose with Hot Compressed Water assisted with RuCl3/MCM48 catalyst at 180 degrees C and (5) ultrafast hydrolysis of cellulose with supercritical water.