Lipid molecules, such as policosanol, ergosterol, sphingomyelin, omega 3 rich phosphatidylcholine, α-tocopherol, and sodium butyrate, have emerged as novel additions to the portfolio of bioactive lipids. In this state-of-the-art review, we discuss these lipids, and their activity against obesity and mental or neurological disorders, with a focus on their proposed cellular targets and the ways in which they produce their beneficial effects. Furthermore, this available information is compared with that provided by in silico Absorption, Distribution, Metabolism, Excretion, and Toxicity (ADMET) models in order to understand the usefulness of these tools for the discovery of new bioactive compounds. Accordingly, it was possible to highlight how these lipids interact with various cellular targets related to the molecule transportation and absorption (e.g., α-tocopherol transfer protein for α-Tocopherol, ATP-binding cassette ABC transporters or Apolipoprotein E for sphingomyelins and phospholipids) or other processes, such as the regulation of gene expression (involving Sterol Regulatory Element-Binding Proteins for ergosterol or Peroxisome Proliferator-Activated Receptors in the case of policosanol) and inflammation (the regulation of interleukins by sodium butyrate). When comparing the literature with in silico Quantitative Structure–Activity Relationship (QSAR) models, it was observed that although they are useful for selecting bioactive molecules when compared in batch, the information they provide does not coincide when assessed individually. Our review highlights the importance of considering a broad range of lipids as potential bioactives and the need for accurate prediction of ADMET parameters in the discovery of new biomolecules. The information presented here provides a useful resource for researchers interested in developing new strategies for the treatment of obesity and mental or neurological disorders.