Marine macroalgae represent a rich source of bioactive compounds that can be implemented in various food, cosmetic, and pharmaceutical products for health improvement. It has been proven that these bioactive compounds, such as polyphenols, polysaccharides, carotenoids, and ω-3 fatty acids possess bioactivity. For the extraction of these compounds, modern methods (Supercritical Fluid Extraction (SFE), Subcritical Water Extraction (SWE), Ultrasound-Assisted Extraction (UAE), and Microwave-Assisted Extraction (MAE)) have been used due to their advantages over the conventional methods. The process parameters of each method must be optimized for obtaining the extracts with the targeted bioactive compounds. In distinction from the existing reviews, the present review provides novelty with respect to: (a) presenting systematically the selected process parameters of SFE (temperature, time, pressure, use of co-solvents), SWE (temperature, time, pressure, solid-solvent ratio), UAE (temperature, time, frequency, power, solid-solvent ratio), and MAE (temperature, time, frequency, power, solvent type) applied for the extractions of marine macroalgae; (b) reporting the major groups or individual compounds extracted with their biological activities (if determined); and, (c) updating available references.