Microalgae are photoautotrophic microorganisms capable of producing compounds with potential bioenergetic applications as an alternative energy source due to the imminent exhaustion of fossil fuels, their impact on the environment, and the constant population increase. The mass cultivation of these microorganisms requires high concentrations of nutrients, which is not profitable if analytical grade culture media are used. A viable alternative is the use of agro-industrial wastewater, due to the metabolic flexibility of these microorganisms and their ability to take advantage of the nutrients present in these substrates. For the reasons mentioned above, the effect of the cultivation in wastewater from cheese processing on the growth parameters and biomass composition of Scenedesmus sp. was evaluated, and its nutrient removal capacity determined. A high lipid concentration was obtained in the cultures with the dairy effluent (507.81 ± 19.09 mg g−1) compared to the standard culture medium, while the growth parameters remained similar to the control medium. Scenedesmus sp. achieved high percentages of nutrient assimilation of the wastewater used (88.41% and 97.07% for nitrogen and phosphorus, respectively). With the results obtained, the feasibility of cultivating microalgae in agro-industrial wastewater as an alternative culture medium that induces the accumulation of compounds with potential bioenergetic applications was verified.