The activities linked to the fishing sector generate substantial quantities of by-products, which are often discarded or used as low-value ingredients in animal feed. However, these marine by-products are a prominent potential good source of bioactive compounds, with important functional properties that can be isolated or up-concentrated, giving them an added value in higher end markets, as for instance nutraceuticals and cosmetics. This valorization of fish by-products has been boosted by the increasing awareness of consumers regarding the relationship between diet and health, demanding new fish products with enhanced nutritional and functional properties. To obtain fish by-product-derived biocompounds with good, functional and acceptable organoleptic properties, the selection of appropriate extraction methods for each bioactive ingredient is of the outmost importance. In this regard, over the last years, innovative alternative technologies of intensification, such as ultrasound-assisted extraction (UAE) and supercritical fluid extraction (SFE), have become an alternative to the conventional methods in the isolation of valuable compounds from fish and shellfish by-products. Innovative green technologies present great advantages to traditional methods, preserving and even enhancing the quality and the extraction efficiency, as well as minimizing functional properties’ losses of the bioactive compounds extracted from marine by-products. Besides their biological activities, bioactive compounds obtained by innovative alternative technologies can enhance several technological properties of food matrices, enabling their use as ingredients in novel foods. This review is focusing on analyzing the principles and the use of UAE and SFE as emerging technologies to valorize seafoods and their by-products.