The grape residue has a high concentration of bioactive compounds with functional properties even after vinification. The objective of this work is to use the Pressurized Liquid Extraction (PLE) technique to maximize the extraction of the anthocyanins and phenolic compounds from the grape residue. PLE extraction was performed using pressure of 10 MPa and acidified mixture (pH 2.0) of ethanol:water (1:1, w:w) as solvent at different temperatures (25, 40, 55, 70 and 85 oC). All extractions were evaluated in terms of the content of monomeric anthocyanins (MAC), total phenolic content (TPC), and antioxidant capacity determined through the Ferric Reducing Ability of Plasma (FRAP) and Oxygen Radical Absorbance Capacity (ORAC) methods. The Pearson’s correlation test was performed to obtain correlation values (r) between the MAC, TPC and antioxidant capacity FRAP and ORAC. For all experiments, a statistical comparison from Tukey’s test was performed, by one-way analysis of variance (ANOVA) at a significance level of 5%. Both tests were carried out using the software MINITAB® (Release 16.1.0, Minitab Inc.). The results showed that 40 oC was the best temperature to obtain anthocyanins (2.02 mg malvidin-3-glucoside/g dry residue (DR)), showing that these compounds are highly unstable at elevated temperatures and quickly destroyed by heat. On the other hand, the increase in temperature to 85 oC significantly improves the extraction of phenolic compounds (14.44 mg GAE/g DR) and consequently achieves greater antioxidant capacity evaluated through FRAP (153.12 mg ET/g DR) and ORAC (41.45 mg ET/g DR). High and positive correlations were obtained between FRAP and TPC (r = 0.942, p-value 0.017), and between ORAC and TPC (r = 0.937, p-value 0.019). However, the correlation between MAC and FRAP did not present p-value lower than 0.05, and showed r-value far from −1 and 1, which means that such variables are not correlated.