Adherence to the Mediterranean Diet (MD) has been associated with a reduced incidence of neurodegenerative diseases and better cognitive performance. Virgin olive oil, the main source of lipids in the MD, is rich in minor phenolic components, particularly hydroxytyrosol (HT). HT potent antioxidant and anti-inflammatory actions have attracted researchers’ attention and may contribute to neuroprotective effects credited to MD. In this review HT bioavailability and pharmacokinetics are presented prior to discussing health beneficial effects. In vitro and in vivo neuroprotective effects together with its multiple mechanisms of action are reviewed. Other microconstituents of olive oil are also considered due to their potential neuroprotective effects (oleocanthal, triterpenic acids). Finally, we discuss the potential role of HT as a therapeutic tool in the prevention of neurodegenerative diseases.