Through the photosynthetic activity, microalgae process more than 25% of annual inorganic carbon dissolved in oceans into carbohydrates that ultimately, serve to feed the other levels of the trophic networks. Besides, microalgae synthesize bioactive molecules such as pigments and lipids that exhibit health properties. In addition, abiotic stresses, such as high irradiance, nutrient starvation, UV irradiation, trigger metabolic reorientations ending with the production of other bioactive compounds such as ω-3 fatty acids or carotenoids. Traditionally, these compounds are acquired through the dietary alimentation. The increasing, and often unsatisfied, demand for compounds from natural sources, combined with the decrease of the halieutic resources, forces the search for alternative resources for these bioactive components. Microalgae possess this strong potential. For instance, the diatom Odontella aurita is already commercialized as dietary complement and compete with fish oil for human nutrition. In this contribution, the microalga world is briefly presented. Then, the different types of biologically active molecules identified in microalgae are presented together with their potential use. Due to space limitation, only the biological activities of lipids and pigments are described in details. The contribution ends with a description of the possibilities to play with the environmental constrains to increase the productivity of biologically active molecules by microalgae and by a description of the progresses made in the field of alga culturing.