The beneficial effects of fish-derived lipid bioactives have come to prominence over the last few decades, especially for their utilization in fish oils, supplements, and nutraceuticals. Omega-3 (n-3) polyunsaturated fatty acids (PUFA), lipid vitamins, carotenoids, and polar lipid bioactives from fish have shown to possess a vast range of beneficial effects against a multitude of chronic disorders and especially against inflammation-and cardiovascular disorders (CVD). The observed cardio-protective effects and health benefits are believed to be attributed to the synergy of these fish-derived lipid bioactives. Within the present article the recent findings in the literature on the lipid content of the mainly consumed fish species, their bio-functionality, and cardio-protective benefits is thoroughly reviewed. Moreover, the recovery and valorization of such lipid bioactives from fish by-products and fishing by-catch, in order to reduce waste, while developing useful products containing cardio-protective lipids from the leftover materials of fisheries and aquaculture industries, are also of industrial and environmental interest. Emphasis is also given to the effects of heat treatments during fish processing on the structures and bio-functionality of these marine lipid bioactives, based on the paradigm of different cooking methodologies and thermal processing, while the compounds produced during such treatment(s) with detrimental changes in the fish lipid profile, which can reduce its cardio-protective efficacy, are also reviewed. Novel green extraction technologies and low temperature processing and cooking of fish and fishery by-products are needed to reduce these undesirable effects in a sustainable and environmentally friendly way.