Extraction of fish oil from fish byproducts not only increases the utilization rate of fish resources but also reduces environmental pollution. Extraction methods affect the recovery and quality of fish oil. In this study, fish oil was extracted from yellowfin tuna (Thunnus albacares) heads using enzymatic hydrolysis extraction after single ultra-high pressure pre-treatment (EHSUP). The processing parameters of extraction were optimized with a two-factor repeated experimental design. The results showed that ultra-high pressure pre-treatment of the tuna heads prior to enzymatic hydrolysis was suitable for extracting fish oil and effectively increased the oil yield. The optimum parameters of ultra-high pressure pre-treatment were 200 MPa for 10 min or 100 MPa for 20 min, and the optimum parameters of enzymatic hydrolysis were 1% papain and 55 °C for 60 min. Considering the fatty acid profiles and the oxidation stability, yellowfin tuna oil is a high-quality, docosahexaenoic acid (DHA)-based product with high economic value. Ultra-high pressure treatment is a novel food processing technology. In general, the main disadvantage of enzymatic hydrolysis extraction is its lower oil recovery than that of solvent extraction. This study investigated the application of ultra-high pressure on fish byproducts prior to enzymatic hydrolysis oil extraction. The results showed that the oil recovery improved by subjecting the tuna heads to ultra-high pressure pre-treatment prior to enzymatic hydrolysis extraction. These results will provide a technical reference for efficiently extracting high-quality fish oil.