Probing the existence of hypothetical particles beyond the Standard model often deals with extreme parameters: large energies, tiny cross-sections, large time scales, etc. Sometimes, laboratory experiments can test required regions of parameter space, but more often natural limitations lead to poorly restrictive upper limits. In such cases, astrophysical studies can help to expand the range of values significantly. Among astronomical sources, used in interests of fundamental physics, compact objects—neutron stars and white dwarfs—play a leading role. We review several aspects of astroparticle physics studies related to observations and properties of these celestial bodies. Dark matter particles can be collected inside compact objects resulting in additional heating or collapse. We summarize regimes and rates of particle capturing as well as possible astrophysical consequences. Then, we focus on a particular type of hypothetical particles—axions. Their existence can be uncovered due to observations of emission originated due to the Primakoff process in magnetospheres of neutron stars or white dwarfs. Alternatively, they can contribute to the cooling of these compact objects. We present results in these areas, including upper limits based on recent observations.