Astaxanthin is a natural carotenoid with remarkable antioxidant activity; however, its hydrophobicity, poor stability, and low bioavailability strongly limit its practical applications. Various delivery systems have been developed for the efficient delivery of astaxanthin, including lipid-based, natural polymer-based, and smart responsive delivery systems, which enhance astaxanthin stability, solubility, bioavailability, and targeting. Optimized delivery systems enable astaxanthin to more effectively exert its biological activities, including protecting eye and skin health, alleviating intestinal inflammation, combating diabetes and its complications, fighting cancer, preventing cardiovascular diseases, and ameliorating metabolic liver diseases. However, the application of astaxanthin in functional foods continues to encounter significant challenges. To systematically summarize the research progress and limitations in the application of astaxanthin delivery systems, this review discusses emerging astaxanthin delivery systems, the nutritional functions they enhance, and the underlying molecular mechanisms. Further, it outlines the developmental and application prospects of astaxanthin in functional foods, providing a theoretical foundation for future research and application.