Food-derived peptides have been extensively studied for their benefits in humans. Hen eggs, characterized by high protein and digestibility, are an excellent source of food-derived bioactive peptides. This review summarizes the preparation methods, purification, and identification of hen egg-derived peptides (HEPs). The preparation methods mainly include enzymatic hydrolysis, microbial fermentation, and chemical synthesis. Genetic engineering is an emerging trend of HEP preparation. Then, we summarize the biological activities of HEPs, such as antioxidant activities, enzyme inhibitory activity, and antibacterial activity, of which the enzyme inhibitory activity is comprehensively summarized for the first time. The structure–activity relationship and underlying mechanism of the HEPs are further elucidated. Finally, the applications, future challenges, and opportunities of HEPs were mainly discussed in the food and non-food sectors. We focus on the potential applications of HEPs in intestinal health and assembly delivery and provide a reference for the further utilization and commercial development of HEPs.