Microalgae productive chains are gaining importance as sustainable alternatives to obtain natural pigments. This work presents a review on the most promising pigments and microalgal sources by gathering trends from a 10-year bibliometric survey, a patents search, and an industrial and market analysis built from available market reports, projects and companies’ webpages. The performed analysis pointed out chlorophylls, phycocyanin, astaxanthin, and β-carotene as the most relevant pigments, and Chlorella vulgaris, Spirulina platensis, Haematococcus pluvialis, and Dunaliella salina, respectively, as the most studied sources. Haematococcus is referred in the highest number of patents, corroborating a high technological interest in this microalga. The biorefinery concept, investment in projects and companies related to microalgae cultivation and/or pigment extraction is increasingly growing, particularly, for phycocyanin from Spirulina platensis. These pieces of evidence are a step forward to consolidate the microalgal pigments market, which is expected to grow in the coming years, increasing the prospects of replacing synthetic pigments by natural counterparts.