The conditions for the analysis of selected doping substances by UHPSFC–MS/MS were optimized to ensure suitable peak shapes and maximized MS responses. A representative mixture of 31 acidic and basic doping agents was analyzed, in both ESI+ and ESI− modes. The best compromise for all compounds in terms of MS sensitivity and chromatographic performance was obtained when adding 2% water and 10 mM ammonium formate in the CO2/MeOH mobile phase. Beside mobile phase, the nature of the make-up solvent added for interfacing UHPSFC with MS was also evaluated. Ethanol was found to be the best candidate as it was able to compensate for the negative effect of 2% water addition in ESI− mode and provided a suitable MS response for all doping agents. Sensitivity of the optimized UHPSFC–MS/MS method was finally assessed and compared to the results obtained in conventional UHPLC–MS/MS. Sensitivity was improved by 5–100-fold in UHPSFC–MS/MS vs. UHPLC–MS/MS for 56% of compounds, while only one compound (bumetanide) offered a significantly higher MS response (4-fold) under UHPLC–MS/MS conditions. In the second paper of this series, the optimal conditions for UHPSFC–MS/MS analysis will be employed to screen >100 doping agents in urine matrix and results will be compared to those obtained by conventional UHPLC–MS/MS.