At present, there is an increasing demand for natural bioactive compounds able to provide health benefits when included and consumed in a functional food or in a nutraceutical. In this regard, microalgae are promising natural sources with great potential, not only considering that these organisms are largely underexplored, but also because microalgae can be produced at large scale and their chemical composition might be tuned to over-synthesize a particular target compound. The use of advanced sustainable extraction techniques to recover these bioactive compounds is a must nowadays. This work presents an overview on the use of compressed fluid-based extraction techniques to obtain bioactive compounds from microalgae that can be seen also as a first step towards its recovery at larger scale. When relevant, the description of the analytical procedure used to chemically characterize the bioactive compounds is also included.