The invention relates to a method and a device for preparing a highly-pure capsicum pigment capsaicin through supercritical fluid column chromatography. The method comprises the following steps: mixing and dissolving supercritical carbon dioxide or modified supercritical carbon dioxide and capsicum oleoresin or saponification products thereof in a feeding tank, filtering the obtained solution, carrying out adsorption and desorption separation through a preparative chromatography column filled with solid adsorbent particles, collecting an eluate containing different solutes to corresponding collectors according to the signal of a detector, separating the solute components and carbon dioxide in a separator, carrying out filtering dedusting, condensation liquid removal, adsorption column purification and compression on tail gas to form a liquid, and returning the liquid to a storage tank in order to carry out cycle use. Extremely low solvent residual and even no solvent residual products with a high purity, such as capsanthin, capsorubin, beta-carotene, beta-cryptoxanthin, zeaxanthine, capsanthin ester, capsorubin ester and cryptoxanthin ester, and highly pure products, such as nordihydrocapsaicin, capsaicin and dihydrocapsaicin can be prepared through the method.