Lipids are not only constituents of cellular membranes, but they are also key signaling mediators, thus acting as “bioactive lipids”. Among the prominent roles exerted by bioactive lipids are immune regulation, inflammation, and maintenance of homeostasis. Accumulated evidence indicates the existence of a bidirectional relationship between the immune and nervous systems, and lipids can interact particularly with the aggregation and propagation of many pathogenic proteins that are well-renowned hallmarks of several neurodegenerative disorders, including Alzheimer’s (AD) and Parkinson’s (PD) diseases. In this review, we summarize the current knowledge about the presence and quantification of the main classes of endogenous bioactive lipids, namely glycerophospholipids/sphingolipids, classical eicosanoids, pro-resolving lipid mediators, and endocannabinoids, in AD and PD patients, as well as their most-used animal models, by means of lipidomic analyses, advocating for these lipid mediators as powerful biomarkers of pathology, diagnosis, and progression, as well as predictors of response or activity to different current therapies for these neurodegenerative diseases.