Sea cucumbers are considered a luxury food item and used locally in traditional medication due to their impressive nutritional profile and curative effects. Sea cucumbers contain a wide range of bioactive compounds, namely phenolics, polysaccharides, proteins (collagen and peptides), carotenoids, and saponins, demonstrating strong antioxidant and other activities. In particular, phenolic compounds, mainly phenolic acids and flavonoids, are abundant in this marine invertebrate and exhibit antioxidant activity. Protein hydrolysates and peptides obtained from sea cucumbers exhibit antioxidant potential, mainly dependent on the amino acid compositions and sequences as well as molecular weight, displayed for those of ≤20 kDa. Moreover, the antioxidant activity of sea cucumber polysaccharides, including fucosylated chondroitin sulfate and fucan, is a combination of numerous factors and is mostly associated with molecular weight, degree of sulfation, and type of major sugars. However, the activity of these bioactive compounds typically depends on the sea cucumber species, harvesting location, food habit, body part, and processing methods employed. This review summarizes the antioxidant activity of bioactive compounds obtained from sea cucumbers and their by-products for the first time. The mechanism of actions, chemical structures, and factors affecting the antioxidant activity are also discussed, along with the associated health benefits.