Shrimp processing by-products are a source of valuable bioactive/biomaterials such as lipids and astaxanthin. As such, extracting lipids/astaxanthin would reduce the environmental burden and enhance the industry’s finances. However, to determine the feasibility, the quality, and quantity of lipids/astaxanthin in the by-product as a function of extraction conditions and pretreatment is required. This work provides, for the first time, a comprehensive analysis of lipid distributions and lipid/ASX mixture distributions in the extract from Atlantic shrimp by-products as a function of water removal and the extraction solvent. Lipid yields varied from 2–8.69 dry wt% for wet shrimp by-product to 1–4 dry wt% for the freeze-dried. Astaxanthin yields ranged from 57–88 µg/gwaste for the wet by-product to 118–218 µg/gwaste for the freeze-dried. Lipid extracts are rich in omega-3 fatty acids and phospholipids. Lipid classes varied with solvent(s) and pretreatment. Overall, pretreatment to remove water decreased lipid yield but increased astaxanthin yield/quality. This information will impact the value and final application of the extract in downstream processes and can be used as a reference for the evaluation/development of scalable extraction processes.