The sea urchin Diadema setosum is edible and desirable as food by locals in central Vietnam and a promising target for potential fishing. The lipid profiles of the gonads of the sea urchin inhabiting the coastal area in Nha Trang Bay are studied for the first time. The determination of the content of the total lipids (TL), total phospholipids (PL), monoacylglycerols (MAG), diacylglycerols (DAG), triacylglycerols (TAG), cholesterol (Chol), sterol esters, and free fatty acids (FFA) is analyzed by high-performance thin layer chromatography (HPTLC); the phosphatidylserine (PS), phosphatidylethanolamine (PE), phosphatidylinositol (PI), phosphatidylcholine (PC), lysophosphatidylcholine (LPC), and sphingomyelin (SM) are determined by high-pressure liquid chromatography (HPLC); and the fatty acid levels of TLs are identified using gas chromatography (GC). Non-polar TAG, FFA, Chol, and DAG dominated. The content of total PL is significant. PC is abundant among PL fractions, followed by PE, PI, and PS. The TLs contain a high proportion of PUFA, mainly due to arachidonic fatty acid and eicosapentanoic fatty acid. The (n−6)/(n−3) ratio is 1.68, and the atherogenic and thrombogenic indexes of D. setosum are 1.13 and 0.73. The results can be used in the development of marine bioprospecting and methodological approaches for the creation of functional substances.