The protein, essential amino acid, and fatty acid composition of European pilchard (Sardina pilchardus), European hake (Merluccius merluccius), surmullet (Mullus surmuletus), red mullet (Mullus barbatus), and deep water rose shrimp (Parapenaeus longirostris) from the central Mediterranean Sea were investigated. All the species showed an essential amino acid content of about 50% of total amino acids, while the protein and total fatty acids content varied from 19.9 to 24.8% and from 1.4 to 5.1%, respectively. The fatty acid profile mainly followed the order SFA (39.1–52.6%) > PUFA (21.0–39.3%) > MUFA (15.6–24.3%). Palmitic and stearic acids were predominant among saturated fatty acids (38–52% and 21–25%, respectively), while palmitoleic and oleic acids were the most represented of the total monounsaturated acids (10–21% and 55–68%, respectively). All the species, as expected, showed a more significant proportion of n-3 PUFA (EPA + DHA) of about 81–93% of the total PUFA, with the highest values was found in European pilchard. Also, several fat quality index values, such as n-6/n-3 ratio, PUFA/SFA, the index of atherogenicity (IA), the index of thrombogenicity (IT), the hypocholesterolemic/hypercholesterolemic ratio (HH), and fish lipid quality/flesh lipid quality (FLQ) were calculated to assess the nutritional quality. All the obtained results, along with the fat quality indexes, indicated the excellent nutritional values of the selected species.