Colorectal cancer is the fourth cause of cancer-related death worldwide. A Mediterranean diet showed protective action against colorectal cancer due to the intake of different substances. Olive oil is a fundamental component of the Mediterranean diet. Olive oil is rich in high-value health compounds (such as monounsaturated free fatty acids, squalene, phytosterols, and phenols). Phenolic compounds exert favourable effects on free radicals, inflammation, gut microbiota, and carcinogenesis. The interaction between gut microbiota and olive oil consumption could modulate colonic microbial composition or activity, with a possible role in cancer prevention. Gut microbiota is able to degrade some substances found in olive oil, producing active metabolites with chemopreventive action. Further clinical research is needed to clarify the beneficial effects of olive oil and its components. A better knowledge of the compounds found in olive oil could lead to the development of nutritional supplements or chemotherapeutic agents with a potential in the prevention and treatment of colorectal cancer.