Sea-derived materials have promising applications in the medical, pharmaceutical, and biotechnological fields. Fish roe, for example, is a highly nutritional product, presenting diverse beneficial effects on human health. Therefore, this work explored extracts of sardine (Sardina pilchardus) roe, due to the well-known health benefits of this fish, to produce novel and promising delivery systems. After morphological, histological, and histochemical characterizations of sardine roe, their lipids were extracted using two different approaches, namely, Bligh and Dyer (BD) and methyl-tert-butyl ether (MTBE) methods. Gas chromatography/mass spectrometry analyses demonstrated that lipid extracts contain several fatty acids, such as ω3 polyunsaturated fatty acids. The lipids, especially phospholipids, were used to produce multilamellar liposomes (MLVs). These delivery systems presented size heterogeneity, a negative surface charge, and the ability to control the release of the encapsulated anti-inflammatory drug, namely, celecoxib. Biological assays indicated that MLVs produced with MTBE lipidic extracts presented a better cytocompatibility than those obtained by the BD method. This can be further improved if the lipid extracts are processed by chemical extraction. Therefore, sardine roe-derived lipids can produce drug-delivery systems with the potential to be applied in the biomedical field.