Bee venom (BV) is usually associated with pain since, when humans are stung by bees, local inflammation and even an allergic reaction can be produced. BV has been traditionally used in ancient medicine and in acupuncture. It consists of a mixture of substances, principally of proteins and peptides, including enzymes as well as other types of molecules in a very low concentration. Melittin and phospholipase A2 (PLA2) are the most abundant and studied compounds of BV. Literature of the main biological activities exerted by BV shows that most studies focuses on the comprehension and test of anti-inflammatory effects and its mechanisms of action. Other properties such as antioxidant, antimicrobial, neuroprotective or antitumor effects have also been assessed, both in vitro and in vivo. Moreover, human trials are necessary to confirm those clinical applications. However, notwithstanding the therapeutic potential of BV, there are certain problems regarding its safety and the possible appearance of adverse effects. On this perspective, new approaches have been developed to avoid these complications. This manuscript is aimed at reviewing the actual knowledge on BV components and its associated biological activities as well as the latest advances on this subject.