While complex lipids of seaweeds are known to display important phytochemical properties, their full potential is yet to be explored. This review summarizes the findings of a systematic survey of scientific publications spanning over the years 2000 to January 2021 retrieved from Web of Science (WoS) and Scopus databases to map the state of the art and identify knowledge gaps on the relationship between the complex lipids of seaweeds and their reported bioactivities. Eligible publications (270 in total) were classified in five categories according to the type of studies using seaweeds as raw biomass (category 1); studies using organic extracts (category 2); studies using organic extracts with identified complex lipids (category 3); studies of extracts enriched in isolated groups or classes of complex lipids (category 4); and studies of isolated complex lipids molecular species (category 5), organized by seaweed phyla and reported bioactivities. Studies that identified the molecular composition of these bioactive compounds in detail (29 in total) were selected and described according to their bioactivities (antitumor, anti-inflammatory, antimicrobial, and others). Overall, to date, the value for seaweeds in terms of health and wellness effects were found to be mostly based on empirical knowledge. Although lipids from seaweeds are little explored, the published work showed the potential of lipid extracts, fractions, and complex lipids from seaweeds as functional ingredients for the food and feed, cosmeceutical, and pharmaceutical industries. This knowledge will boost the use of the chemical diversity of seaweeds for innovative value-added products and new biotechnological applications.