Color is the first attribute that influences the acceptance of foods as they become more attractive to consumers when they are more intense and uniform. In recent years, the interest of producers and consumers in purchasing products containing natural ingredients have constantly increased. Natural pigments are commonly extracted from fruits and vegetables, and have been proven to provide health benefits to reduce the risk of diseases such as type-1 diabetes, obesity, and coronary diseases. Additionally, advanced extraction and encapsulation technologies that make food matrices more efficient are useful tools for improving the use of these pigments. In this review, the state-of-the-art of pigments such as carotenoids, anthocyanins, and betalains of plant origin are discussed, including their main sources of production and the factors that affect their physicochemical stability. In addition, different extraction methods are discussed, listing their advantages and disadvantages, and providing some applications of natural pigments in food.