In recent years, the demand for biotechnologically produced, natural, and health-conscious food colorants has grown substantially. Natural pigments derived from plants, algae, and microbial sources offer multifunctional properties such as antioxidant activity, bioavailability, and sustainability, alongside their coloring function. Among emerging technologies, microbial fermentation—particularly using filamentous fungi and yeast—has enabled the production of novel pigments from renewable and low-cost substrates such as agrifood co-products. This systematic review aimed to compare the properties, applications, and challenges associated with natural and synthetic red pigments used in food products. It was conducted following PRISMA guidelines and performed across Scopus, Web of Science, and PubMed databases. Inclusion criteria involved peer-reviewed articles published from 2005 to 2025 reporting “physicochemical properties”, “stability”, “bioactivity”, “economic aspects”, and “safety profiles” of “red pigments”. From the results, Monascus spp. is an example of a well-known species due to its ability to produce azaphilone pigments in orange, yellow, and red hues, which has been extensively used in Asia as a natural food colorant. Additionally, it can produce more than 90 bioactive molecules with health benefits, including isoflavones, antioxidants, GABA, and monacolin K. Monascus-derived red pigments represent a promising sustainable alternative, showing moderate stability and affordability, although pricing data remain limited. Meanwhile, traditional pigments like carmine (E120), though color-stable, are associated with allergenicity and high cost (135–180 EUR/kg). Betanin (E162), a plant-derived pigment, is safer and less costly (5–10 EUR/kg), but less stable. Synthetic colorants such as Allura Red AC (E129) and Ponceau 4R (E124) offer performance and affordability advantages, though they raise safety concerns. This systematic review focuses on the evaluation of natural and synthetic red pigments and their potential as sustainable and functional alternatives for food formulations.