Krill oil (KO) and fish oil (FO) are rich sources of long-chain polyunsaturated fatty acids, with eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA) bound to distinct molecular carriers (phospholipids vs. triglycerides). These oils have been the subject of considerable research interest over the past few years owing to their roles extensively studied for their antioxidant and anti-inflammatory properties relevant to disease prevention and therapy in certain diseases. This review aimed to provide a comparative summary of the antioxidant and anti-inflammatory activities of KO and FO, based on their bioactive components, and highlight the similarities and differences in their prospective mechanisms of action. Both oils exert antioxidant and anti-inflammatory activities, aligning with the review focus. The bioactivities of both oils stem from their distinct molecular compositions: KO delivers EPA/DHA via phospholipids, alongside astaxanthin, while FO provides EPA/DHA bound to triglycerides. In some cases, they exhibit similar outcomes, whereas in others, one may be more effective than the other. Further comparative studies examining dose-dependent effects, bioavailability kinetics, and tissue-specific molecular pathways are warranted.