Shrimp waste valorization offers a solution to environmental pollution and increases the sustainability of fishery products that, in most cases, are discarded. This study aimed to recover protein from shrimp waste and obtain antioxidant peptides through enzymatic hydrolysis. First, two different protein recovery strategies such as aqueous extraction and alkaline extraction were evaluated. Then the use of two commercial proteases (Alcalase and Flavourzyme) was assessed to obtain antioxidant hydrolysates (by ORAC and DPPH assay). The higher protein yield was obtained by alkaline extraction, and the highest antioxidant activity was obtained using Flavourzyme (31.7 μmol TE g⁻1 and 52.4% of DPPH). In addition, a response surface methodology (RSM) was used to optimize the hydrolysis conditions (time and enzyme/substrate ratio). Finally, the hydrolysate was sequentially fractionated by ultrafiltration using different molecular weight cut-offs (10 and 3 kDa). The most antioxidant fraction was <3 kDa reaching 0.91 ± 0.04 μmol TE mg−1 protein. This fraction was separated by Size-Exclusion and Reverse-Phase HPLC into four peptides of 3558, 2568, 1747, and 718 kDa, where the prevalence of hydrophobic and aromatic amino acids could contribute positively to the antioxidant activity. These results established sustainable strategies for obtaining peptide fractions with a high potential to be used as natural alternatives to antioxidants.