The effects of different extraction solvents on the extraction yield and chemical composition of oils from by‐products of marine shrimp Penaeus vannamei (Pv) and freshwater shrimp Procambarus clarkia (Pc) were investigated. Our results indicated that the ethanol and n‐hexane mixture (4:1, v/v) was suitable solvent for simultaneous extraction of phospholipid and nonpolar lipids. By contrast, the ethanol and n‐hexane mixture (4:1, v/v) and single ethanol were suitable solvents for the extraction of polyunsaturated fatty acids‐rich (36.10%–42.78% of total fatty acids for Pv and 23.57%–25.58% of total fatty acids for Pc) and phosphatidylcholine‐rich (66.22–67.09 mol% of total phospholipids for Pv and 55.01–58.68 mol% of total phospholipids for Pc) oils, but acetone was suitable solvent for the extraction of astaxanthin‐rich oil (436.19 μg/g oil for Pv and 799.27 μg/g oil for Pc). The findings will provide relevant information that can be used to improve the production of nutritional oils from shrimp by‐products. Practical applications: This study provides a theoretical basis for creating proper extraction processing to recover nutritional oils from shrimp by‐products. For example, the ethanol and n‐hexane mixture (4:1, v/v) was a suitable solvent for simultaneous extraction of phospholipid and non‐polar lipids. By contrast, both of the ethanol and n‐hexane mixture (4:1, v/v) and single ethanol were suitable solvents for the extraction of polyunsaturated fatty acids (PUFA)‐rich and phosphatidylcholine‐rich oils, but acetone was a suitable solvent for the extraction of astaxanthin‐rich oil. Therefore, the oils extracted from shrimp by‐products are rich in phospholipid, PUFA, and astaxanthin, which may be used as new functional food ingredients. [ABSTRACT FROM AUTHOR]