Photosynthetic pigments are bioactive compounds of great importance for the food, cosmetic, and pharmaceutical industries. They are not only responsible for capturing solar energy to carry out photosynthesis, but also play a role in photoprotective processes and display antioxidant activity, all of which contribute to effective biomass and oxygen production. Diatoms are organisms of a distinct pigment composition, substantially different from that present in plants. Apart from light-harvesting pigments such as chlorophyll a, chlorophyll c, and fucoxanthin, there is a group of photoprotective carotenoids which includes β-carotene and the xanthophylls, diatoxanthin, diadinoxanthin, violaxanthin, antheraxanthin, and zeaxanthin, which are engaged in the xanthophyll cycle. Additionally, some intermediate products of biosynthetic pathways have been identified in diatoms as well as unusual pigments, e.g., marennine. Marine algae have become widely recognized as a source of unique bioactive compounds for potential industrial, pharmaceutical, and medical applications. In this review, we summarize current knowledge on diatom photosynthetic pigments complemented by some new insights regarding their physico-chemical properties, biological role, and biosynthetic pathways, as well as the regulation of pigment level in the cell, methods of purification, and significance in industries.