The present paper explores the biological potential of bioactive compounds present in wine industry wastes, highlighting their valorization to promote sustainability and circular economy. Wine by-products, such as grape pomace and vine shoots, contain a high concentration of polyphenols, flavonoids, anthocyanins and other phytochemicals with antioxidant, anti-inflammatory and anticarcinogenic properties. Both conventional extraction methods, such as solid–liquid extraction, and emerging technologies, including enzyme-assisted extraction, ultrasound-assisted extraction, supercritical fluid extraction, microwave-assisted extraction, pressurized liquid extraction, high-hydrostatic-pressure extraction, and deep natural solvent-assisted extraction (NaDES), are discussed. In addition, the preservation of polyphenolic extracts by microencapsulation, a key technique to improve the stability and bioavailability of bioactive compounds, is addressed. The combination of advanced extraction methods and innovative preservation techniques offers a promising perspective for the valorization of bioactive compounds from wine residues, driving sustainability and innovation in the industry.