The crustacean processing industry has experienced significant growth over recent decades resulting in the production of a great number of by-products. Crustacean by-products contain several valuable components such as proteins, lipids, and carotenoids, especially astaxanthin and chitin. When isolated, these valuable compounds are characterized by bioactivities such as anti-microbial, antioxidant, and anti-cancer ones, and that could be used as nutraceutical ingredients or additives in the food, pharmaceutical, and cosmetic industries. Different innovative non-thermal technologies have appeared as promising, safe, and efficient tools to recover these valuable compounds. This review aims at providing a summary of the main compounds that can be extracted from crustacean by-products, and of the results obtained by applying the main innovative non-thermal processes for recovering such high-value products. Moreover, from the perspective of the circular economy approach, specific case studies on some current applications of the recovered compounds in the seafood industry are presented. The extraction of valuable components from crustacean by-products, combined with the development of novel technological strategies aimed at their recovery and purification, will allow for important results related to the long-term sustainability of the seafood industry to be obtained. Furthermore, the reuse of extracted components in seafood products is an interesting strategy to increase the value of the seafood sector overall. However, to date, there are limited industrial applications for this promising approach. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.