Supercritical carbon dioxide (scCO2), ethanol (EtOH), and water are considered GRAS (Generally Recognized as Safe) solvents. They exhibit considerable advantages in the extraction of phenolic compounds with a wide range of polarities, such as the anthocyanins found in purple corn (Zea mays L.). To evaluate the effect of ethanol and water as co-solvents in the scCO2 extraction of phenolic compounds of purple corn cobs, extracts were obtained at 400 bar and 50 °C using EtOH (CE), water (CW), and mixtures of EtOH/water 50% (CE50), and EtOH/water 70% (CE70) as co-solvents of scCO2. The overall yield (X0), the extraction yield of total monomeric anthocyanins (TMA), total phenolics (TP), total flavonoids (TF) were determined in the extracts, as well as the antioxidant activity (AA) expressed as EC50/DPPH, color, and presence of specific anthocyanins by HPLC. The lowest extraction yield (4.15%) was obtained when ethanol was used as co-solvent (CE), and the highest yield (24.4%) was observed when using a mixture of EtOH/water (70%, CE70) as co-solvent. The presence of EtOH and water was essential to obtain concentrated phenolic extracts, with values around 66 mg cyanidin-3-glycoside equivalent per gram of dried extract, 290 mg gallic acid equivalent per gram, and 117 mg catechin equivalent per gram, and antioxidant activity of CE50 = 31 μg/mL by DPPH.