In this study, a three-step extraction method (separately use acetone, hexane, and ethanol as extraction solvent in each step) was conducted to selectively extract three types of krill oils with different compositions. The lipid yields were 5.08% in step 1, 4.80% in step 2, and 9.11% in step 3, with a total of 18.99%. The krill oil extracted with acetone in step 1 (A-KO) contained the lowest contents of phospholipids (PL) (2.32%) and n-3 polyunsaturated fatty acids (PUFA) (16.63%), but the highest levels of minor components (505.00 mg/kg of astaxanthin, 29.39 mg/100 g of tocopherols, 34.32 mg/100 g of vitamin A and 27.95 mg/g of cholesterol). By contrast, despite having traces of minor components, the krill oil extracted using ethanol in step 3 (E-KO) was the most abundant in PL (59.52%) and n-3 PUFA (41.74%). The krill oil extracted using hexane in step 2 (H-KO) expressed medium contents of all the testing indices. The oils showed significant differences in the antioxidant capacity (E-KO > H-KO > A-KO) which exhibited positive correlation with the PL content. These results could be used for further development of a wide range of krill oil products with tailor-made functions.