PETG (poly(ethylene glycol-co-cyclohexane-1,4-dimethanol terephthalate)) is an amorphous copolymer, biocompatible, recyclable, and versatile. Nowadays, it is being actively researched for biomedical applications. However, proposals of PETG as a platform for the loading of bioactive compounds from natural extract are scarce, as well as the effect of the supercritical impregnation on this polymer. In this work, the supercritical impregnation of PETG filaments with Olea europaea leaf extract was investigated, evaluating the effect of pressure (100–400 bar), temperature (35–55 °C), and depressurization rate (5–50 bar min⁻¹) on the expansion degree, antioxidant activity, and mechanical properties of the resulting filaments. PETG expansion degree ranged from ~3 to 120%, with antioxidant loading ranging from 2.28 to 17.96 g per 100 g of polymer, corresponding to oxidation inhibition values of 7.65 and 66.55%, respectively. The temperature and the binary interaction between pressure and depressurization rate most affected these properties. The mechanical properties of PETG filaments depended greatly on process variables. Tensile strength values were similar or lower than the untreated filaments. Young’s modulus and elongation at break values decreased below ~1000 MPa and ~10%, respectively, after the scCO₂ treatment and impregnation. The extent of this decrease depended on the supercritical operational parameters. Therefore, filaments with higher antioxidant activity and different expansion degrees and mechanical properties were obtained by adjusting the supercritical processing conditions.