Shrimp is one of the most popular seafoods worldwide, and its lipids have been studied for biological activity in both, muscle and exoskeleton. Free fatty acids, triglycerides, carotenoids, and other lipids integrate this fraction, and some of these compounds have been reported with cancer chemopreventive activities. Carotenoids and polyunsaturated fatty acids have been extensively studied for chemopreventive properties, in both in vivo and in vitro studies. Their mechanisms of action depend on the lipid chemical structure and include antioxidant, anti-proliferative, anti-mutagenic, and anti-inflammatory activities, among others. The purpose of this review is to lay groundwork for future research about the properties of the lipid fraction of shrimp.