Agro-industrial by-products and by-products from the wine industry (pomace, peels, leaves, stems, and seeds) represent a potential economic interest because they are usually relevant natural sources of bioactive compounds, which may present significant biological activities related to human health and well-being. This article aims to review wine and winery industry by-products as potential natural sources of antioxidant, antimicrobial, anti-inflammatory, antiaging, and anticancer compounds, as well as briefly highlighting the extraction methods used to obtain these bioactive compounds and explore their potential applications in the food, cosmetic, and packaging industries. Although there are some studies of wine industry by-products with different origins, this revision will be mainly focused on the Portuguese vineyard industry since it represents an import industrial sector as proof of the diversity of the bioactive compounds identified. Therefore, the recovery of these bioactive molecules that act as antioxidants and health-promoting agents may promote a variety of industries at the same time as the circular economy.