Nowadays, a wide variety of compounds such as polyphenols, polyunsaturated fatty acids (PUFA), or phytosterols obtained, for example, from wine, fish byproducts, or plants are employed to prepare new functional foods. However, unexplored natural sources of bioactive ingredients are gaining much attention since they can lead to the discovery of new compounds or bioactivities. Microalgae have been proposed as an interesting, almost unlimited, natural source in the search for novel natural functional ingredients, and several works have shown the possibility to find bioactive compounds in these organisms. Some advantages can be associated with the study of microalgae such as their huge diversity, the possibility of being used as natural reactors at controlled conditions, and their ability to produce active secondary metabolites to defend themselves from adverse or extreme conditions. In this contribution, an exhaustive revision is presented involving the research for innovative functional food ingredients from microalgae. The most interesting results in this promising field are discussed including new species composition and bioactivity and new processing and extraction methods. Moreover, the future research trends are critically commented.