Supercritical CO2 (SCCO2), characterized by gas-like diffusivity, low surface tension, and excellent mass transfer properties, is applied to create a SiOx/carbon multi-layer coating on Si particles. Interaction of SCCO2 with Si produces a continuous SiOx layer, which can buffer Si volume change during lithiation/delithiation. In addition, a conformal carbon film is deposited around the Si@SiOx core. Compared to the carbon film produced via a conventional wet-chemical method, the SCCO2-deposited carbon has significantly fewer oxygen-containing functional groups and thus higher electronic conductivity. Three types of carbon precursors, namely, glucose, sucrose, and citric acid, in the SCCO2 syntheses are compared. An eco-friendly, cost-effective, and scalable SCCO2 process is thus developed for the single-step production of a unique Si@SiOx@C anode for Li-ion batteries. The sample prepared using the glucose precursor shows the highest tap density, the lowest charge transfer resistance, and the best Li+ transport kinetics among the electrodes, resulting in a high specific capacity of 918 mAh g−1 at 5 A g−1. After 300 charge–discharge cycles, the electrode retains its integrity and the accumulation of the solid electrolyte interphase is low. The great potential of the proposed SCCO2 synthesis and composite anode for Li-ion battery applications is demonstrated.