Several microalgae species have been exploited due to their great biotechnological potential for the production of a range of biomolecules that can be applied in a large variety of industrial sectors. However, the major challenge of biotechnological processes is to make them economically viable, through the production of commercially valuable compounds. Most of these compounds are accumulated inside the cells, requiring efficient technologies for their extraction, recovery and purification. Recent improvements approaching physicochemical treatments (e.g., supercritical fluid extraction, ultrasound-assisted extraction, pulsed electric fields, among others) and processes without solvents are seeking to establish sustainable and scalable technologies to obtain target products from microalgae with high efficiency and purity. This article reviews the currently available approaches reported in literature, highlighting some examples covering recent granted patents for the microalgae’s components extraction, recovery and purification, at small and large scales, in accordance with the worldwide trend of transition to bio-based products.