The intranasal route has been suggested as a promising alternative to improve the direct transport of molecules to the brain, avoiding the need to cross the blood–brain barrier (BBB). In this area, the use of lipid nanoparticles, namely solid lipid nanoparticles (SLN) and nanostructured lipid carriers (NLC), has been highlighted as a promising strategy to improve the treatment of neurodegenerative diseases. In this work, formulations containing SLN and NLC that were loaded with astaxanthin that was obtained from different sources (astaxanthin extract (AE) from the algae Haematococcus pluvialis and pure astaxanthin (PA) from the fungi Blakeslea trispora) were prepared for nose-to-brain administration, and comparative in vitro experiments were performed to evaluate the biocompatibility of the formulations with nasal (RPMI 2650) and neuronal (SH-SY5Y) cells. Afterwards, the antioxidant activity of the formulations was evaluated for its potential neuroprotective effects, using different chemical aggressors. Finally, the cellular uptake of the astaxanthin was evaluated for the formulations that showed the greatest neuroprotection of the neuronal cells against chemical-induced damage. On the production day, all the formulations showed a particle size, a high encapsulation efficiency (EE), the presence of nanoparticles with a typical spherical shape, and a polydispersity index (PDI) and zeta potential (ZP) that are suitable for nose-to-brain administration. After three months of storage at room temperature, no significant changes were observed in the characterization parameters, predicting a good long-term stability. Furthermore, these formulations were shown to be safe with concentrations of up to 100 µg/mL in differentiated SH-SY5Y and RPMI 2650 cells. Regarding neuroprotection studies, the PA-loaded SLN and NLC formulations showed an ability to counteract some mechanisms of neurodegeneration, including oxidative stress. Moreover, when compared with the PA-loaded SLN, the PA-loaded NLC showed greater neuroprotective effects against the cytotoxicity induced by aggressors. In contrast, the AE-loaded SLN and NLC formulations showed no significant neuroprotective effects. Although further studies are needed to confirm these neuroprotective effects, the results of this study suggest that the intranasal administration of PA-loaded NLC may be a promising alternative to improve the treatment of neurodegenerative diseases.