In this work, a new thermodynamic method, based on the McMillan-Mayer solution theory, is proposed to interpret and predict the solubility of low- and high-molecular-weight compounds in compressed CO2. In the thermodynamic approach presented here, the solute is referred to as a pseudo pure component while the compressed CO2 is represented as a continuous medium that affects the interactions among solute molecules. The perturbed-hard-sphere-chain (PHSC) theory is used within the McMillan-Mayer framework to derive an expression for the repulsive and attractive contributions to the Helmholtz free energy of the solute. While easy to handle, the model enlightens the effects of molecular weight and other physical-chemical characteristics on compounds solubility in compressed media. The thermodynamic approach fairly describes the experimental data concerning the solubility of several substances in compressed CO2 at different temperatures. The model also predicts CO2 solubility in PEG polymer and semi-quantitatively reproduces high-molecular-weight component solubility in compressed CO2 containing low amount of ethanol as co-solvent.