During the last few decades, the food and beverage industry faced increasing demand for the design of new functional food products free of synthetic compounds and artificial additives. Anthocyanins are widely used as natural colorants in various food products to replenish blue color losses during processing and to add blue color to colorless products, while other compounds such as carotenoids and betalains are considered as good sources of other shades. Root vegetables are well known for their broad palette of colors, and some species, such as black carrot and beet root, are already widely used as sources of natural colorants in the food and drug industry. Ongoing research aims at identifying alternative vegetable sources with diverse functional and structural features imparting beneficial effects onto human health. The current review provides a systematic description of colored root vegetables based on their belowground edible parts, and it highlights species and/or cultivars that present atypical colors, especially those containing pigment compounds responsible for hues of blue color. Finally, the main health effects and antioxidant properties associated with the presence of coloring compounds are presented, as well as the effects that processing treatments may have on chemical composition and coloring compounds in particular.