In the olive fruits there is a large amount of bioactive compounds and substances of high interest. Many of them are known by owing health beneficial properties that contribute to protective effect of the virgin olive oil. During olive oil processing, most of them remain in the olive oil wastes. Although, olive-mill wastewater (OMWW) or “alpechin”, olive oil cake (OOC), and the new by-product, known as “alperujo” in Spain and generated by the two-phase extraction process, represent a major disposal and potentially severe pollution problem for the industry, they are also promising source of substances of high value. This review summarises the last knowledge on the utilisation of residual products, with more than 90 references including articles and patents, which are promising with regard to future application. All these investigations have been classified into two options, the recovery of valuable natural constituents and the bioconversion into useful products.