The multi-functional system of supercritical fluid chromatography (SFC) is described. The system includes capillary column/micro-packed column SFC, GC, controlling of temperature, pressure, density with computer, and is equipped with supercritical fluid extractor. With this system, hydrocarbon wax, DC-200 stationary phase of chromatography, butter, beeswax and the medicines such as Jiuxin oil, Wanhua oil can be separated, respectively.