Olive oil is a liquid fat obtained from the fruit of Olea europaea, a plant belonging to the Oleaceae family, which is widely cultivated and diffused in the Mediterranean area. It is largely produced and used since antiquity. It is mainly used and consumed as food but also as key ingredient in a wide variety of cosmetic products, e.g., to moisturize and nourish dry skin. In the last few decades, olive oil has received much attention as compared to the other seed-obtained oils as well as to the animal fats due to many functional compounds with positive effects on health. To maintain the genuine picture of olive oil, it is essential to assure its authenticity and quality. The presence of bioactive compounds, which characterize the olive oil owing to their antioxidant properties, can be assessed by spectroscopic and chromatographic methods. Currently, spectroscopic techniques combined with chemometric data analysis represent one of the most promising detection methods in the food sector. They offer rapid, versatile, and inexpensive data collection and analyses. The main advantages include the limited and simple sample preparation and the possibility to get spectra directly from the production line. Infrared spectroscopy (mid- and near-infrared) coupled to chemometrics is considered as powerful, fast, accurate, and nondestructive analytical tool for rapid and precise determination of the bioactive compounds content, as well of their bioactivities, i.e., antioxidant properties. These techniques represent a valid alternative to the existing conventional methods of analysis, e.g., based on chromatography and mass spectrometry. Indeed, the present review focuses on the application of infrared spectroscopy for functional compounds evaluation in olive oil.