Marine animals, especially shrimp species, have gained interest in research, due to the fact that they contain a plethora of biomolecules, specifically lipids, which have been proven to possess many health benefits in various diseases linked to chronic inflammation or other exogenous factors. This review refers to the lipid composition of a large number of shrimp species, as well as the effects that can alternate the lipid content of these crustaceans. Emphasis is given to the potent anti-inflammatory, antioxidant, and antithrombotic properties of shrimp bioactives, as well as the effects that these bioactives hold in other diseases, such as cancer, diabetes, neurodegenerative disorders, and more. The various health-promoting effects deriving from the consumption of shrimp lipid bioactives and the usage of products containing shrimp lipid extracts are also addressed in this study, through the exploration of several mechanisms of action and the interference of shrimp lipids in these biochemical pathways. Nevertheless, further research on this cultivatable edible species is needed, due to their existing limitations and future prospects which are discussed in this paper.