Astaxanthin (ASX) is a potent lipophilic antioxidant derived from the natural pigment that gives marine animals their distinctive red-orange colour and confers protection from ultraviolet radiation. Self nano-emulsifying drug delivery systems (SNEDDS) have been successfully developed and evaluated to increase the skin penetration of ASX and target its antioxidant and anti-inflammatory potential to the epidermis and dermis. SNEDDS were prepared using a low-temperature spontaneous emulsification method, and their physical characteristics, stability, antioxidant activity, and skin penetration were characterized. Terpenes (D-limonene, geraniol, and farnesol) were included in the SNEDDS formulations to evaluate their potential skin penetration enhancement. An HPLC assay was developed that allowed ASX recovery from skin tissues and quantification. All SNEDDS formulations had droplets in the 20 nm range, with low polydispersity. ASX stability over 28 days storage in light and dark conditions was improved and antioxidant activity was high. SNEDDS-L1 (no terpene) gave significantly increased ASX penetration to the stratum corneum (SC) and the epidermis-dermis-follicle region (E + D + F) compared to an ASX in oil solution and a commercial ASX facial serum product. The SNEDDS-containing D-limonene gave the highest ASX permeation enhancement, with 3.34- and 3.79-fold the amount in the SC and E + D + F, respectively, compared to a similar applied dose of ASX in oil. We concluded that SNEDDS provide an effective formulation strategy for enhanced skin penetration of a highly lipophilic molecule, and when applied to ASX, have the potential to provide topical formulations for UV protection, anti-aging, and inflammatory conditions of the skin.