The “alperujo” is a waste from the olive oil industry with great potential for valorization. It has a high organic load, with the presence of valuable compounds such as biophenols and sugars. The use of this waste can be thought of as a biorefinery from which different compounds of high added value can be obtained, whether they are present in the “alperujo” such as biophenols or can be generated from the “alperujo”. Therefore, the production of carotenoids by Rhodotorula mucilaginosa was evaluated using the liquid fraction of ‘alperujo’ (Alperujo Water, AW) or an aqueous extract (AE) of “alperujo” at different concentrations (5, 10, 20 and 30% w/V) as substrates. The AEs had an acidic pH, a total sugar concentration ranging from 1.6 to 7.6 g/L, a polyphenols content from 0.4 to 2.9 g/L and a significant amount of proteins (0.5–3 g/L). AW is similar in composition as 30% AE, but with a higher amount of total sugars. Rh. mucilaginosa was able to grow at the different mediums with consumption of glucose and fructose, a reduction in protein content and alkalinization of the medium. Maximum total carotenoid production (7.3 ± 0.6 mg/L) was achieved at AW, while the specific production was higher when the yeast grew at AW or at 30% AE (0.78 ± 0.06 and 0.73 ± 0.10 mg/g of biomass, respectively). Torulene and torularhodin were the main carotenoids produced. Polyphenol content did not change; thus, it is still possible to recover these compounds after producing carotenoids. These results demonstrate the feasibility of using alperujo-based mediums as cheap substrates to produce torularhodin and torulene and to include this bioprocess as a step in an integral approach for alperujo valorization.