Penicillium roqueforti is a fungal starter culture used for the production of blue-veined cheeses, such as Roquefort, Gorgonzola, Stilton, Cabrales, and Danablue. During ripening, this species grows in the veins of the cheese, forming the emblematic blue-green color and establishing the characteristic flavor owin to its biochemical activities. P. roqueforti synthesizes a diverse array of secondary metabolites, including the well-known compounds roquefortine C, clavine alkaloids, such as isofumigaclavine A and B, mycophenolic acid, andrastin A, and PR-toxin. This review provides an in-depth exploration of P. roqueforti’s secondary metabolites, focusing on their biosynthetic pathways, the gene clusters responsible for their production, and their bioactivities. The presence of these compounds in blue cheeses is also reviewed. Furthermore, the silent clusters and the potential of P. roqueforti for producing secondary metabolites were discussed. The review highlights recently identified metabolites, including sesterterpenoids; tetrapeptides, D-Phe-L-Val-D-Val-L-Tyr, and D-Phe-L-Val-D-Val-L-Phe; cis-bis(methylthio)silvatin; and the 1,8-dihydroxynaphthalene (DHN)-melanin precursor, scytalone. Additionally, a gene cluster for DHN–melanin biosynthesis is presented. Finally, a revised cluster for roquefortine C biosynthesis comprising three rather than four genes is proposed.