Fishery production is exponentially growing, and its by-products negatively impact industries’ economic and environmental status. The large amount of bioactive micro- and macromolecules in fishery by-products, including lipids, proteins, peptides, amino acids, vitamins, carotenoids, enzymes, collagen, gelatin, chitin, chitosan, and fucoidan, need to be utilized through effective strategies and proper management. Due to the bioactive and healthy compounds in fishery discards, these components can be used as functional food ingredients. Fishery discards have inorganic or organic value to add to or implement in various sectors (such as the agriculture, medical, and pharmaceutical industries). However, the best use of these postharvest raw materials for human welfare remains unelucidated in the scientific community. This review article describes the most useful techniques and methods, such as obtaining proteins and peptides, fatty acids, enzymes, minerals, and carotenoids, as well as collagen, gelatin, and polysaccharides such as chitin–chitosan and fucoidan, to ensure the best use of fishery discards. Marine-derived bioactive compounds have biological activities, such as antioxidant, anticancer, antidiabetic, anti-inflammatory, and antimicrobial activities. These high-value compounds are used in various industrial sectors, such as the food and cosmetic industries, owing to their unique functional and characteristic structures. This study aimed to determine the gap between misused fishery discards and their effects on the environment and create awareness for the complete valorization of fishery discards, targeting a sustainable world.