Krill oil is an oil derived from shrimp-like crustaceans called krill, which are found in the colder ocean waters around Antarctica, Canada and Japan. The omega-3-rich oil contains two of the same essential fatty acids as fish oil (eicosapentaenoic acid, or EPA, and docosahexaenoic acid, or DHA). The EPA and DHA in krill oil have higher bioavailability (rate of absorption) compared to fish oil because much of the EPA and DHA in krill oil is bound to phospholipids.