Shrimp is one of the most popular seafood items worldwide, and has been reported as a source of chemopreventive compounds. In this study, shrimp lipids were separated by solvent partition and further fractionated by semi-preparative RP-HPLC and finally by open column chromatography in order to obtain isolated antiproliferative compounds. Antiproliferative activity was assessed by inhibition of M12.C3.F6 murine cell growth using the MTT (3-(4,5-dimethyl-2-thiazolyl)-2,5-diphenyl-2-H-tetrazolium bromide) assay. The methanolic fraction showed the highest antiproliferative activity; this fraction was separated into 15 different sub-fractions (M1-M15). Fractions M8, M9, M10, M12, and M13 were antiproliferative at 100 µg/mL and they were further tested at lower concentrations. Fractions M12 and M13 exerted the highest growth inhibition with an IC50 of 19.5 ± 8.6 and 34.9 ± 7.3 µg/mL, respectively. Fraction M12 was further fractionated in three sub-fractions M12a, M12b, and M12c. Fraction M12a was identified as di-ethyl-hexyl-phthalate, fraction M12b as a triglyceride substituted by at least two fatty acids (predominantly oleic acid accompanied with eicosapentaenoic acid) and fraction M12c as another triglyceride substituted with eicosapentaenoic acid and saturated fatty acids. Bioactive triglyceride contained in M12c exerted the highest antiproliferative activity with an IC50 of 11.33 ± 5.6 µg/mL. Biological activity in shrimp had been previously attributed to astaxanthin; this study demonstrated that polyunsaturated fatty acids are the main compounds responsible for antiproliferative activity.