Marine algicolous fungi refer to the fungi inhabiting or associated with marine algae, which have attracted a great attention for natural product researchers due to their chemical diversity and biological activity during the past two decades. Up to the end of 2014, a total of 366 new natural products, including polyketides, terpenoids, polyketide-terpenoids, peptides, alkaloids, and shikimate derivatives, have been characterized from them. Among these metabolites, 240 compounds feature cytotoxic, antibacterial, antifungal, antimicroalgal, zooplankton-toxic, antiprotozoal, antioxidative, enzyme-modulatory, and/or some other activities. This review gives a comprehensive coverage of both chemical and biological aspects of the secondary metabolites from marine algicolous fungi.