Marine oils are rich sources of long-chain omega-3 fatty acids that have important roles in human health, particularly eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA). In krill oil, substantial proportions of these fatty acids are esterified to glycerol in phospholipids rather than triacylglycerols, representing a key difference between the lipid profiles of krill and fish oils that is of significance in relation to health benefits. Whereas analysis of fatty acid composition in fish oil and fish-oil supplements by infrared spectroscopic methods has been reported in the literature, simultaneous determination of the concentrations of EPA, DHA, and phospholipids in krill oil by both attenuated total reflectance-Fourier transform infrared (ATR-FTIR) and near-infrared (NIR) spectroscopy was investigated for the first time in the present study. Individual ATR-FTIR and NIR calibration models were developed by employing partial-least-squares regression (PLSR) to relate the spectral data acquired for 19 samples of krill oil from various commercial sources to concentration values obtained by reference methods. Characterization of these samples by 31P NMR spectroscopy was also undertaken. Cross-validation of the NIR calibration models for the prediction of EPA, DHA, and total phospholipids (PL) yielded root-mean-square errors (RMSECV) of 2.5, 3.5, and 15.8 mg/g, respectively. Slightly higher RMSECV values were obtained for the ATR-FTIR calibration models (i.e., 3.9 mg EPA/g, 3.7 mg DHA/g, and 18.6 mg PL/g). These results support the potential applicability of both NIR and ATR-FTIR spectroscopy in quality control and authentication of krill oil.