The present invention relates to an improved and integrated process for the extraction and purification of tocotrienols or tocopherols, carotenoids and sterols from vegetable and other edible oils. Fatty acids in the vegetable oils are subjected to alcoholic osterification to form ester-rich layer that includes fatty acid alkyl esters, carotenoids, tocotrienols or tocopherols, and sterols. The advantages of this process are that the tocotrienols or tocopherols, carotenoids and sterols are produced efficiently without any substantial decomposition or degradation of these phytonutrients.