Shrimp processing generates substantial waste, which is rich in valuable components such as polysaccharides, proteins, carotenoids, and fatty acids. This review provides a comprehensive overview of the valorization of shrimp waste, mainly shrimp shells, focusing on extraction methods, bioactivities, and potential applications of these bioactive compounds. Various extraction techniques, including chemical extraction, microbial fermentation, enzyme-assisted extraction, microwave-assisted extraction, ultrasound-assisted extraction, and pressurized techniques are discussed, highlighting their efficacy in isolating polysaccharides, proteins, carotenoids, and fatty acids from shrimp waste. Additionally, the bioactivities associated with these compounds, such as antioxidant, antimicrobial, anti-inflammatory, and antitumor properties, among others, are elucidated, underscoring their potential in pharmaceutical, nutraceutical, and cosmeceutical applications. Furthermore, the review explores current and potential utilization avenues for these bioactive compounds, emphasizing the importance of sustainable resource management and circular economy principles in maximizing the value of shrimp waste. Overall, this review paper aims to provide insights into the multifaceted aspects of shrimp waste valorization, offering valuable information for researchers, industries, and policymakers interested in sustainable resource utilization and waste-management strategies.