Industries in the agro-food sector are the largest generators of waste in the world. Agro-food wastes and by products originate from the natural process of senescence, pretreatment, handling, and manufacturing processes of food and beverage products. Notably, most of the wastes are produced with the transformation of raw materials (such as fruits, vegetables, plants, tubers, cereals, and dairy products) into different processed foods (e.g., jams, sauces, and canned fruits/vegetables), dairy derivatives (e.g., cheese and yogurt), and alcoholic (e.g., wine and beer) and nonalcoholic beverages (e.g., juices and soft drinks). Current research is committed not only to the usage of agro-food wastes and by products as a potential source of high-value bioactive compounds (e.g., phenolic compounds, anthocyanins, and organic acids) but also to the implementation of emerging and innovative technologies that can compete with conventional extraction methods for the efficient extraction of such biomolecules from the residues. Herein, specific valorization technologies, such as membrane-based processes, microwave, ultrasound, pulsed electric-assisted extraction, supercritical/subcritical fluids, and pressurized liquids, have emerged as advanced techniques in extracting various added-value biomolecules, showing multiple advantages (improved extraction yields, reduced process time, and protection to the bioactive properties of the compounds). Hence, this comprehensive review aims to analyze the ongoing research on applying such techniques in valorization protocols. A last-five-year review, together with a featured analysis of the relevant findings in the field, is provided.