Large amounts of agro-industrial waste are being generated each year, leading to pollution and economic loss. At the same time, these side streams are rich source of active compounds including antioxidants. Recovered compounds can be re-utilized as food additives, functional foods, nutra-/pharmaceuticals, cosmeceuticals, beauty products, and bio-packaging. Advanced extraction techniques are promising tools to recover target compounds such as antioxidants from agro-industrial side streams. Due to the disadvantages of classical extraction techniques (such as large amounts of solvents, increased time of extraction, large amounts of remaining waste after the extraction procedure, etc.), and advanced techniques emerged, in order to obtain more efficient and sustainable processes. In this review paper aspects regarding different modern extraction techniques related to recovery of antioxidant compounds from wastes generated in different industries and their applications are briefly discussed.