Processing of crustaceans such as shrimp generates large amounts of byproducts, particularly shell, cephalothorax, and tail. Improper disposal of those byproducts may cause deleterious consequence on the environment and human health. However, their valorization via the production of several high-value bioactive compounds could pave the way for the sustainable utilization of marine resources. Shrimp shells are mainly exploited for chitin (CHT) and carotenoproteins extraction, whereas cephalothorax is rich in proteins, lipids, unsaturated fatty acids, and carotenoids. Different extraction techniques, including chemical or organic solvent, enzymatic hydrolysis, microbial fermentation, non-thermal-assisted extraction, supercritical fluid extraction, etc. have been implemented, depending on the target compound. Moreover, bioactive compounds from shrimp processing waste (SPW) possessed nutraceutical properties, such as antioxidant, antimicrobial, antihypertensive, anti-inflammatory, and antiproliferative activities. Therefore, those components could serve as functional ingredients in various food products. Overall, the utilization of SPW effectively contributes to a bio-circular-green (BCG) economy in the seafood processing industry, and some products can be potentially applied for human health benefit.