This study explored how combining supercritical fluid extraction (SFE) and enzymatic hydrolysis influences the structure and functionality of peptides recovered from filter-pressed shrimp waste. Freeze-dried press cake (PC) was defatted via SFE and hydrolyzed using Alcalase (ALC) and trypsin (TRYP). ALC-treated PC achieved the highest protein recovery (63.49%), extraction yield (24.73%), and hydrolysis degree (18.10%) (p < 0.05). SFE-treated hydrolysates showed higher zeta potential (−47.23 to −49.93 mV) than non-SFE samples (−25.15 to −38.62 mV) but had larger droplet sizes, indicating lower emulsion stability. SC-ALC displayed reduced fluorescence intensity and a red shift in maximum wavelength. TRYP hydrolysates reduced interfacial tension (20 mN/m), similar to sodium caseinate (Na-Cas, 13 mN/m), but with lesser effects. Dilatational rheology showed TRYP hydrolysates formed stronger, solid-like structures. These results emphasize protease efficacy over SFE for extracting functional compounds, enhancing shrimp waste valorization.