Display omitted •A variety of approaches for the extraction of lipids from microalgae were reviewed.•The bioactivity of microalgae lipids is summarized.•Innovative techniques have advantages in improving yield and reducing pollution. Microalgae, as a photosynthetic autotrophic organism, contain a variety of bioactive compounds, including lipids, proteins, polysaccharides, which have been applied in food, medicine, and fuel industries, among others. Microalgae are considered a good source of marine lipids due to their high content in unsaturated fatty acid (UFA) and can be used as a supplement/replacement for fish-based oil. The high concentration of docosahexaenoic (DHA) and eicosapentaenoic acids (EPA) in microalgae lipids, results in important physiological functions, such as antibacterial, anti-inflammatory, and immune regulation, being also a prerequisite for its development and application. In this paper, a variety of approaches for the extraction of lipids from microalgae were reviewed, including classical and innovative approaches, being the advantages and disadvantages of these methods emphasized. Further, the effects of microalgae lipids as high value bioactive compounds in human health and their use for several applications are dealt with, aiming using green(er) and effective methods to extract lipids from microalgae, as well as develop and extend their application potential.