Background/Objectives: Despite advances in ulcer treatment research, the search for new, safe, and effective strategies for preventing and treating ulcer diseases persists. Methods: In this study, the protective effects of dietary supplementation with krill oil (KO), fish oil (FO), and astaxanthin (ASX) on an ethanol-induced gastric ulcer model were compared during biochemical and histological observations. Sprague–Dawley (n = 64) rats randomly divided into four groups—normal control (vehicle), KO, FO, and ASX groups—received the supplements via the orogastric route at a rate of 2.5% (v/w) of their daily feed consumption for 4 weeks. Then, ulcer induction was performed with ethanol. Results: The ulcer group showed increased levels of malondialdehyde (MDA), chemiluminescence (CL), and myeloperoxidase (MPO) activity and decreased levels of glutathione in the gastric tissues. While KO, FO, and ASX supplementation decreased chemiluminescence levels in the ulcer group, only ASX supplementation decreased MDA levels and MPO activity. Conclusions: In conclusion, supplementation with KO or FO has a similar protective effect against ethanol-induced ulcer damage, as it inhibits ROS formation and reduces lipid peroxidation. However, ASX supplementation has a higher protective effect than KO or FO supplementations against experimental ethanol-induced gastric lesions in rats, as it inhibits ROS formation and reduces neutrophil infiltration and lipid peroxidation.