Sea buckthorn is a fruit rich in many bioactive compounds and shows the benefits of antioxidant, anti-inflammatory, anti-obesity, hepatoprotective, anti-tumor, and immunomodulatory properties, etc. The main bioactive compounds extracted and characterized in sea buckthorn are polyphenols, carotenoids, and functional lipids, which could provide health benefits by scavenging free radicals, regulating enzyme activities, and modulating signaling pathways, etc. Although there are many studies focused on the values of sea buckthorn, a comprehensive review on its chemical composition, functional mechanism and food application are still lacking. Thus, this paper aims to review the bioactive compounds in sea buckthorn, their underlying mechanisms for health benefits, as well as the applications in health food development. Particularly, the potential value of sea buckthorn and the novel technologies applied in previous studies are also discussed to improve its use for human health.