The accumulation and production of biochemical compounds in microalgae are influenced by available light quality and algal species-specific features. In this study, four freshwater cryptophyte strains (Cryptomonas ozolinii, C. pyrenoidifera, C. curvata, and C. sp. (CPCC 336)) and one marine strain (Rhodomonas salina) were cultivated under white (control), blue, and green (experimental conditions) lights. Species-specific responses to light quality were detected, i.e., the color of light significantly affected cryptophyte biomass productivity and biochemical compositions, but the optimal light for the highest chemical composition with high antioxidant capacity was different for each algal strain. Overall, the highest phycoerythrin (PE) content (345 mg g−1 dry weight; DW) was reached by C. pyrenoidifera under green light. The highest phenolic (PC) contents (74, 69, and 66 mg g−1 DW) were detected in C. curvata under control conditions, in C. pyrenoidifera under green light, and in C. ozolinii under blue light, respectively. The highest exopolysaccharide (EPS) content (452 mg g−1 DW) was found in C. curvata under the control light. In terms of antioxidant activity, the biochemical compounds from the studied cryptophytes were highly active, with IC50 -values < 50 µg mL−1. Thus, in comparison to well-known commercial microalgal species, cryptophytes could be considered a possible candidate for producing beneficial biochemical compounds.