In the last few decades, microalgae have attracted attention from the scientific community worldwide, being considered a promising feedstock for renewable energy production, as well as for a wide range of high value-added products such as pigments and poly-unsaturated fatty acids for pharmaceutical, nutraceutical, food, and cosmetic markets. Despite the investments in microalgae biotechnology to date, the major obstacle to its wide commercialization is the high cost of microalgal biomass production and expensive product extraction steps. One way to reduce the microalgae production costs is the use of low-cost feedstock for microalgae production. Some wastes contain organic and inorganic components that may serve as nutrients for algal growth, decreasing the culture media cost and, thus, the overall process costs. Most of the research studies on microalgae waste treatment use autotrophic and mixotrophic microalgae growth. Research on heterotrophic microalgae to treat wastes is still scarce, although this cultivation mode shows several benefits over the others, such as higher organic carbon load tolerance, intracellular products production, and stability in production all year round, regardless of the location and climate. In this review article, the use of heterotrophic microalgae to simultaneously treat wastes and produce high value-added bioproducts and biofuels will be discussed, critically analyzing the most recent research done in this area so far and envisioning the use of this approach to a commercial scale in the near future.