Microalgae have a great potential for the production of healthy food and feed supplements. Their ability to convert carbon into high-value compounds and to be cultured in large scale without interfering with crop cultivation makes these photosynthetic microorganisms promising for the sustainable production of lipids. In particular, microalgae represent an alternative source of polyunsaturated fatty acids (PUFAs), whose consumption is related to various health benefits for humans and animals. In recent years, several strategies to improve PUFAs’ production in microalgae have been investigated. Such strategies include selecting the best performing species and strains and the optimization of culturing conditions, with special emphasis on the different cultivation systems and the effect of different abiotic factors on PUFAs’ accumulation in microalgae. Moreover, developments and results obtained through the most modern genetic and metabolic engineering techniques are described, focusing on the strategies that lead to an increased lipid production or an altered PUFAs’ profile. Additionally, we provide an overview of biotechnological applications of PUFAs derived from microalgae as safe and sustainable organisms, such as aquafeed and food ingredients, and of the main techniques (and their related issues) for PUFAs’ extraction and purification from microalgal biomass.