The valorization of by-products is currently a matter of great concern to improve the sustainability of the food industry. High quality by-products derived from the food chain are omega-3 fatty acids, being fish the main source of docosahexaenoic acid and eicosapentaenoic acid. The search for economic and sustainable sources following the standards of circular economy had led to search for strategies that put in value new resources to obtain different omega-3 fatty acids, which could be further employed in the development of new industrial products without producing more wastes and economic losses. In this sense, seeds and vegetables, fruits and crustaceans by products can be an alternative. This review encompasses all these aspects on omega-3 fatty acids profile from marine and agri-food by-products together with their extraction and purification technologies are reported. These comprise conventional techniques like extraction with solvents, cold press, and wet pressing and, more recently proposed ones like, supercritical fluids fractionation and purification by chromatographic methods. The information collected indicates a trend to combine different conventional and emerging technologies to improve product yields and purity. This paper also addresses encapsulation strategies for their integration in novel foods to achieve maximum consumer acceptance and to ensure their effectiveness.