Macroalgae have been recently used for different applications in the food, cosmetic and pharmaceutical industry since they do not compete for land and freshwater against other resources. Moreover, they have been highlighted as a potential source of bioactive compounds. Red algae (Rhodophyta) are the largest group of seaweeds, including around 6000 different species, thus it can be hypothesized that they are a potential source of bioactive compounds. Sulfated polysaccharides, mainly agar and carrageenans, are the most relevant and exploited compounds of red algae. Other potential molecules are essential fatty acids, phycobiliproteins, vitamins, minerals, and other secondary metabolites. All these compounds have been demonstrated to exert several biological activities, among which antioxidant, anti-inflammatory, antitumor, and antimicrobial properties can be highlighted. Nevertheless, these properties need to be further tested on in vivo experiments and go in-depth in the study of the mechanism of action of the specific molecules and the understanding of the structure–activity relation. At last, the extraction technologies are essential for the correct isolation of the molecules, in a cost-effective way, to facilitate the scale-up of the processes and their further application by the industry. This manuscript is aimed at describing the fundamental composition of red algae and their most studied biological properties to pave the way to the utilization of this underused resource.