In recent years, the demand of healthier food products and products made with natural ingredients has increased overwhelmingly, led by the awareness of human beings of the influence of food on their health, as well as by the evidence of side effects generated by different ingredients such as some additives. This is the case for several artificial colorants, especially azo colorants, which have been related to the development of allergic reactions, attention deficit and hyperactivity disorder. All the above has focused the attention of researchers on obtaining colorants from natural sources that do not present a risk for consumption and, on the contrary, show biological activity. The most representative compounds that present colorant capacity found in nature are anthocyanins, anthraquinones, betalains, carotenoids and chlorophylls. Therefore, the present review summarizes research published in the last 15 years (2008–2023) in different databases (PubMed, Scopus, Web of Science and ScienceDirect) encompassing various natural sources of these colorant compounds, referring to their obtention, identification, some of the efforts made for improvements in their stability and their incorporation in different food matrices. In this way, this review evidences the promising path of development of natural colorants for the replacement of their artificial counterparts.