Sucrose esters (SEs), derived from sucrose and fatty acids, are biodegradable and non-toxic surfactants increasingly favored as substitutes for petrochemically synthesized ones in food, cosmetics, and pharmaceuticals. SEs provide versatile hydrophilic–lipophilic properties, determined by the degree of sucrose esterification ranging from one to eight. The length of the fatty acid residues further influences the phase behavior of SEs, allowing creation of tailored formulations for specific applications. This review provides insights about our current understanding of the SEs phase behavior, their aggregation in aqueous and oily solutions, and its correlation with formulation outcomes. Furthermore, an overview of recent studies investigating SEs in various colloidal systems, including emulsions, foams, oleogels, and others, is provided. Novel concepts are discussed alongside future research directions, emphasizing the SEs potential as sustainable, functional ingredients.