The potential and applicability of UHPSFC–MS/MS for anti-doping screening in urine samples were tested for the first time. For this purpose, a group of 110 doping agents with diverse physicochemical properties was analyzed using two separation techniques, namely UHPLC–MS/MS and UHPSFC–MS/MS in both ESI+ and ESI− modes. The two approaches were compared in terms of selectivity, sensitivity, linearity and matrix effects. As expected, very diverse retentions and selectivities were obtained in UHPLC and UHPSFC, proving a good complementarity of these analytical strategies. In both conditions, acceptable peak shapes and MS detection capabilities were obtained within 7 min analysis time, enabling the application of these two methods for screening purposes. Method sensitivity was found comparable for 46% of tested compounds, while higher sensitivity was observed for 21% of tested compounds in UHPLC–MS/MS and for 32% in UHPSFC–MS/MS. The latter demonstrated a lower susceptibility to matrix effects, which were mostly observed as signal suppression. In the case of UHPLC–MS/MS, more serious matrix effects were observed, leading typically to signal enhancement and the matrix effect was also concentration dependent, i.e., more significant matrix effects occurred at the lowest concentrations.