Microalgae are rich in nutrients and biologically active substances such as proteins, carbohydrates, lipids, vitamins, pigments, phycobiliproteins, among others. The lipid composition of the microalgae Chlorella vulgaris, Arthrospira platensis, and Dunaliella salina was screened for the first time. The proposed method for purifying the lipid complex isolated from microalgae’s biomass involved dissolving the lipid-pigment complex in n-hexane for 4 h and stirring at 500 rpm. We found that the largest number of neutral lipids is contained in the biomass of microalgae Arthrospira platensis, fatty acids, polar lipids (glycerophospholipids), and unsaponifiable substances—in the biomass of microalgae Dunaliella salina, chlorophyll, and other impurities—in the biomass of microalgae Chlorella vulgaris. The developed method of purification of the fatty acid composition of the microalgae lipid complex confirmed the content of fatty acids in microalgae, which are of interest for practical use in the production of biologically active components. We also determined the potential of its use in the development of affordable technology for processing microalgae into valuable food and feed additives.