The reaction efficiency of soybean oil transesterification in supercritical ethanol in a continuous catalyst-free process was investigated under different water concentrations. Experiments were performed at 350 °C and 20 MPa, with an oil/ethanol ratio of 1:40. A fatty acid ethyl ester content of 77.5% was obtained at a flow rate of 1.5 mL/min in a water-free system, while the maximum concentration of ethyl esters reached for a water content of 10 wt % was 68.1% at a flow rate of 1.0 mL/min. Decomposition and trans-isomerization of unsaturated fatty acids were significantly affected by the flow rate, with a pronounced reduction in the ratio of C18:2/C16:0 in the final product compared to the starting oil.