Abstract Pigmentation is often overlooked in zooplankton, since these organisms are mostly colorless to fit the translucid water medium. However, one of the dominant zooplankton taxa in aquatic ecosystems—copepods—often show a bright red‐orange or blue coloration owing to the accumulation of carotenoid pigments in some parts of their bodies. Even though there are many functional traits describing copepod's performance (e.g., size, feeding, and reproductive modes), it is surprising that the role of such a simple and visible trait as coloration has not been studied in a coherent manner yet. Here, by reviewing 95 studies, we demonstrate that carotenoid‐based pigmentation (mainly caused by astaxanthin molecules) is a widespread functional trait in freshwater and marine copepods. We propose a way to disentangle the complex and thus intriguing patterns of pigment expression along latitudinal and altitudinal gradients, addressing its relationship to diet quality and quantity, temperature, ultraviolet radiation stress, predation pressure, lipid metabolism, and reproduction. We show that large‐scale variations in pigmentation are difficult to tackle because of the fundamental plasticity of this trait at short time scales (i.e., hours, days), and the most recent information about carotenoid bioconversion are addressed (genes and enzyme identification, and influence of microbiota). From this literature review, we hypothesize that pigments play a “Swiss‐army knife” role for copepod's fitness, useful in various ecosystem conditions owing to the strong antioxidant power and the finely‐tuned metabolism of astaxanthin. With larger antioxidant capacities (survival), higher metabolisms (growth), and more offspring in better condition (reproduction), red morphs appear more successful than their uncolored siblings. Also, the potential camouflage strategies allowed by red and blue pigmentation are discussed. We finally formulate new directions and future research fields from molecular to ecosystem scales. Routine quantifications of copepod's pigmentation through trait‐based approaches could be useful (1) to obtain an accurate copepod fitness indicator and (2) to better estimate the transfer of antioxidant to higher trophic levels in ecosystems, including humans.