The objective of this work was to obtain high purity natural wax from sorghum and by‐products of sorghum processing (sorghum dried distillers grains with solubles [DDGS] and sorghum bran) using a green process based on supercritical carbon dioxide (SC‐CO2). SC‐CO2 extractions were carried out at varying temperatures (50, 70°C) and pressures (30, 40 MPa) at a CO2 flow rate 1 L/min for 120 min. Significantly higher wax yield (4.9%) from DDGS was obtained by SC‐CO2 at 40 MPa/70°C compared with whole kernel (0.6%) and bran (3.3%) (p < 0.05). The yield of the extracts obtained by SC‐CO2 extraction was higher than that of the conventional hexane extraction for all three sorghum sources. The highest fraction of wax in the SC‐CO2 extracts was obtained from whole kernel extracts (89%), whereas it was 53.3% from the DDGS and 26.8% from the bran at the same extraction conditions. SC‐CO2 and hexane extracts from sorghum whole kernel shared a similar melting peak temperature of 76.3–77.9 and 79.7°C, respectively, while DDGS and bran extracts by SC‐CO2 showed a much lower melting temperature in the range of 50.7–61.9°C, indicating the presence of lower melting point components such as triacylglycerols. However, the melting points of the DDGS and bran extracts after ethanol purification were significantly increased with the observed peak temperature of 80.8 and 82.0°C, respectively. While the wax yield from DDGS and bran was higher than that of whole kernel, the sorghum whole kernel feedstock was found to be a more feasible feedstock to obtain higher purity wax.