Sea cucumbers are a rich source of bioactive compounds and are gaining popularity as nutrient-rich seafood. They are consumed as a whole organism in Pacific regions. However, limited data are available on the comparison of their lipid composition and nutritional value. In this study, untargeted liquid chromatography/mass spectrometry was applied to comprehensively profile lipids in the skin, meat, and intestinal contents of three color-distinct edible sea cucumbers. Multivariate principal component analysis revealed that the lipid composition of the intestinal contents of red, black, and blue sea cucumbers differs from that of skin, and meats. Polyunsaturated fatty acids (PUFAs) are abundant in the intestinal contents, followed by meats of sea cucumber. Lipid nutritional quality assessments based on fatty acid composition revealed a high P:S ratio, low index of atherogenicity, and high health promotion indices for the intestinal contents of red sea cucumber, suggesting its potential health benefits. In addition, hierarchical cluster analysis revealed that the intestinal contents of sea cucumbers were relatively high in PUFA-enriched phospholipids and lysophospholipids. Ceramides are abundant in black skin, blue meat, and red intestinal content samples. Overall, this study provides the first insights into a comprehensive regio-specific profile of the lipid content of sea cucumbers and their potential use as a source of lipid nutrients in food and nutraceuticals.