We generalize the Thomas-Fermi approach to galaxy structure to include self-consistently and non-linearly central supermassive black holes. This approach naturally incorporates the quantum pressure of the warm dark matter (WDM) particles and shows its full powerful and clearness in the presence of supermassive black holes (SPMHs). We find the main galaxy and central black hole magnitudes: halo radius r_h , halo mass M_h, black hole mass M_BH, velocity dispersion, phase space density, with their realistic astrophysical values, masses and sizes over a wide galaxy range. The SMBH masses arise naturally in this framework. Our extensive numerical calculations and detailed analytic resolution show that with SMBHs, both WDM regimes: classical (Boltzmann dilute) and quantum (compact) do necessarily co-exist in any galaxy: from the smaller and compact galaxies to the largest ones. The transition from the quantum to the classical region occurs precisely at the same point r_A where the chemical potential vanishes. A novel halo structure with three regions shows up: A small quantum compact core of radius r_A around the SMBH, followed by a less compact region till the BH influence radius r_i, and then for r> r_i the known halo galaxy shows up with its astrophysical size. Three representative families of galaxy plus central SMBH solutions are found and analyzed:small, medium and large galaxies having SMBH masses of 10^5, 10^7 and 10^9 M_sun respectively. A minimum galaxy size and mass ~ 10^7 M_sun larger than the one without SMBH is found. Small galaxies in the range 10^4 M_sun < M_h < 10^7 M_sun cannot harbor central SMBHs. We find novel scaling M_BH - r_h - M_h relations. The galaxy equation of state is derived: The pressure P(r) takes huge values in the SMBH vecinity and then sharply decreases entering the classical region following a local perfect gas behaviour.(Abridged)
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