In recent years, microalgae have attracted great interest for their potential applications in nutraceutical and pharmaceutical industry as an interesting source of bioactive medicinal products and food ingredients with anti-oxidant, anti-inflammatory, anti-cancer, and anti-microbial properties. One potential application for bioactive microalgae compounds is obesity treatment. This review gathers together in vitro and in vivo studies which address the anti-obesity effects of microalgae extracts. The scientific literature supplies evidence supporting an anti-obesity effect of several microalgae: Euglena gracilis, Phaeodactylum tricornutum, Spirulina maxima, Spirulina platensis, or Nitzschia laevis. Regarding the mechanisms of action, microalgae can inhibit pre-adipocyte differentiation and reduce de novo lipogenesis and triglyceride (TG) assembly, thus limiting TG accumulation. Increased lipolysis and fatty acid oxidation can also be observed. Finally, microalgae can induce increased energy expenditure via thermogenesis activation in brown adipose tissue, and browning in white adipose tissue. Along with the reduction in body fat accumulation, other hallmarks of individuals with obesity, such as enhanced plasma lipid levels, insulin resistance, diabetes, or systemic low-grade inflammation are also improved by microalgae treatment. Not only the anti-obesity effect of microalgae but also the improvement of several comorbidities, previously observed in preclinical studies, has been confirmed in clinical trials.