Marine macroalgae are rich in bioactive compounds that can be applied in several fields, mainly food, cosmetics, and medicine. The health-promoting effects of bioactive compounds, such as polyphenols, polysaccharides, carotenoids, proteins, and fatty acids, have been increasingly explored, especially regarding their antioxidant activity and improvement in human health. To extract these valuable compounds, advanced technologies that include Supercritical-Fluid Extraction (SFE), Pressurised-Liquid Extraction (PLE), Ultrasound-Assisted Extraction (UAE), Microwave-Assisted Extraction (MAE), Enzyme-Assisted Extraction (EAE), Ultrasound-Microwave-Assisted Extraction (UMAE) and Liquefied Gas Extraction (LGE) have been assessed due to their notable advantages over the conventional methods (Solid–Liquid and Soxhlet extraction). These advanced techniques are considerably influenced by different extraction parameters such as temperature, pressure, type of solvent, extraction time, solvent:solid material ratio, power (MAE, UAE, and UMAE), enzymes used (EAE), and factors related to the macroalgae matrix itself. Optimizing these process parameters for each method is critical to obtain better efficiency results for the targeted bioactive compounds. Macroalgae are natural sources with undeniable beneficial effects on human health. In this context, optimising the extraction techniques discussed in this review should prioritise exploiting these valuable resources’ wide range of bioactive properties.