Co-pelletization of waste biomass and microalgae is an attractive option for using bioenergy efficiently. This work investigates the potential of microalgae as a binder to improve the energy consumption and physical and thermal properties of a novel pellet. Wood waste biomass was blended with microalgae in proportions of 15%, 30%, and 50% to investigate its properties using a single pelleting device and thermodynamic analysis. The results showed that, under the conditions of temperature (80–160 °C), pressure (120–200 MPa), and moisture content (6%–14%), blending microalgae can effectively increase the bulk density and mechanical durability of the pellets by 9%–36% and 0.7%–1.6%, respectively, and can significantly reduce the energy consumption of pelleting by 23.5%–40.4%. Blending microalgae can significantly reduce the energy consumption of pelleting by 23.5%–40.4%. Moreover, when the amount of Chlorella vulgaris powder (CVP) is 50%, a maximum bulk density (BD) of 1580.2 kg/m3, a durability (DU) of 98%, and a minimum energy consumption of 25.2 kJ/kg were obtained under the optimum conditions of temperature (120 °C), pressure (120 MPa), and moisture content (10%), respectively. Besides, the interaction between the microalgae and sawdust does exist, and their effect on the co-combustion process is inhibitive (0–300 °C) and accelerative (300–780 °C). When the amount of microalgae was 15%, the average activation energy of the pellet was a minimum value, which was 133.21 kJ/mol and 134.60 kJ/mol calculated by the Kissinger–Akahira–Sunose method and Ozawa–Flynn–Wall method, respectively. Therefore, the energy consumption, physical, and thermal properties of the novel pellet could be improved and meet the ISO standard (International Organization for Standardization of 17225, Geneva, Switzerland, 2016) by blending 15% of microalgae. Overall, the use of microalgae as a binder can indeed improve pellet quality, and it can be considered a significant way to utilize microalgae in the future.