Graphdiyne (GDY) is a new two‐dimensional ordered carbon oxide composed of sp and sp2 hybrid carbon atoms. It holds great application potential due to the uniformly distributed pores and design flexibility. However, the present preparation technology is still limited to obtain graphdiyne oxide (GDYO) nanosheets from oxidation of exfoliated GDY, just depending on strong corrosive acid as an oxidant. Herein, this work reports a simple, efficient, liquid‐phase exfoliation strategy, in which supercritical carbon dioxide (SC CO2) was first proposed to directly exfoliate GDY and prompt their oxidation into ultrathin GDYO nanosheets. The introduced CO2 molecules can cause the increase of bond lengths and bending degree of the intermediate C bond, and it can weaken and further break acetylenic bonds, which is proved by density functional theory (DFT) calculations. Meanwhile, experimentally GDYO nanosheets also show excellent light‐to‐heat conversion performance with a photothermal conversion efficiency of 63.95%. Therefore, this work provides a new environmentally friendly way to design and develop advanced carbon‐based materials and indicates GDYO‐based materials fundamentally significant in biomedicine, environmental governance.