The current increased industrial food production has led to a significant rise in the amount of food waste generated. These food wastes, especially fruit and vegetable byproducts, are good sources of natural pigments, such as anthocyanins, betalains, carotenoids, and chlorophylls, with both coloring and health-related properties. Therefore, recovery of natural pigments from food wastes is important for both economic and environmental reasons. Conventional methods that are used to extract natural pigments from food wastes are time-consuming, expensive, and unsustainable. In addition, natural pigments are sensitive to high temperatures and prolonged processing times that are applied during conventional treatments. In this sense, the present review provides an elucidation of the latest research on the extraction of pigments from the agri-food industry and how their consumption may improve human health.