Citrus fruits are extensively grown and much consumed around the world. Eighteen percent of total citrus cultivars are destined for industrial processes, and as a consequence, large amounts of waste are generated. Citrus waste is a potential source of high biological value compounds, which can be used in the food, pharmaceutical, and cosmetic industries but whose final disposal may pose a problem due to economic and environmental factors. At the same time, the emerging need to reduce the environmental impact of citrus waste and its responsible management has increased. For these reasons, the study of the use of non-conventional methods to extract high biological value compounds such as carotenoids, polyphenols, essential oils, and pectins from this type of waste has become more urgent in recent years. In this review, the effectiveness of technologies such as ultrasound assisted extraction, microwave assisted extraction, supercritical fluid extraction, pressurized water extraction, pulsed electric field, high-voltage electric discharges, and high hydrostatic pressures is described and assessed. A wide range of information concerning the principal non-conventional methods employed to obtain high-biological-value compounds from citrus waste as well as the most influencing factors about each technology are considered.