As answered in this question $L^2$ compactness of embedding, we have $L^2(\Omega)$ is indeed compactly embedded in $H^{-1}(\Omega)$ (here $\Omega$ is bounded domain in $R^n$), and accounting for the answer of this questions subset of $H^1(\mathbb{R}^d)$ is compactly embedded in $L^2(\mathbb{R}^d)$
Now, what about $L^2(\mathbb{R^n}$)? does the embedding still hold $( L^2(\mathbb{R^n}) \subset \subset H^{-1}(\mathbb{R^n}))$? I am wondering if there's any space that $L^2(\mathbb{R^n}$) is compactly embedded into?