The phylum Echinodermata comprising the classes Asteroidea, Ophiuroidea, Echinoidea, Holothuroidea, and Crinodeia, is one of the important invertebrate groups. Members of this phylum live exclusively in marine habitats and are distributed in almost all depths and latitudes. Some of them, such as sea urchins and sea cucumbers, are commercially valuable and constitute a major fishery resource. Echinoderms are increasingly recognized as a unique source of various metabolites with a wide range of biological activities. The importance of dietary polyunsaturated fatty acids, such as eicosapentaenoic acid, in human health has drawn attention to echinoderms as a promising source of essential fatty acids (FAs). Extensive information on the FAs of the phylum has been accumulated to date. The biosynthetic capabilities and feeding habits of echinoderms explain the findings of the unusual FAs in them. Certain common and unusual FAs may serve as chemotaxonomic markers of the classes. The main goal of the review was to gather the relevant information on the distribution of FAs among the echinoderm classes, describe the structures, distribution, biosynthetic pathways, and bioactivity, with an emphasis on the FAs specific for echinoderms. A large part of the review is devoted to the FAs derived from echinoderms that exhibit various biological activities promising for potential therapeutic applications.