The chemical composition and properties of seed oils have attracted researchers nowadays. By this meaning, the physicochemical and bioactivity profile of prickly pear seed oil (PPSO) (a product of prickly pear fruits waste) were investigated. Seeds of shelf-grown cactus fruits (Opuntia ficus indica L.) were subjected to analysis. Moisture content (gravimetric analysis), seed content (gravimetric analysis), oil yield (Soxhlet extraction/gravimetric analysis), volatile compounds (HS-SPME/GC-MS), fatty acids profile (GC-FID), in vitro antioxidant activity (DPPH assay), and total phenolic content (Folin-Cioacalteu assay) were determined. Results showed that prickly pear seeds had a moisture content of 6.0 ± 0.1 g/100 g, whereas the oil yield ranged between 5.4 ± 0.5 g/100 g. Furthermore, the PPSO had a rich aroma because of acids, alcohols, aldehydes, esters, hydrocarbons, ketones, and other compounds, with the major volatiles being 2-propenal, acetic acid, pentanal, 1-pentanol, hexanal, 2-hexenal, heptanal, 2-heptenal (Z), octanal, 2-octenal, nonanal, 2,4-decadienal (E,E), and trans-4,5-epoxy-(E)-2-decenal. Among the fatty acids, butyric, palmitic, stearic, and oleic acids were the dominant. Finally, the pure PPSO had a high in vitro antioxidant activity (84 ± 0.010%) and total phenolic content (551 ± 0.300 mg of gallic acid equivalents/L). PPSO may be then used as a beneficial by-product, in different food systems as a flavoring, antioxidant, and nutritional agent.