In recent decades, microalgal biotechnology has become one of the most valuable sources of functional feed additives. Many microalgae, such as Chlorella sp., Tetraselmis sp., Navicula sp., Phaeodactylum tricornutum, Porphyridium cruentum, Nannochloropsis gaditana, Dunaliella salina, Lobosphaera sp. and Schizochytrium sp., have been considered valuable in fish species as they enhance immunostimulant abilities, resistance against infectious diseases and tolerance to environmental stress. For instance, immunological parameters (i.e., respiratory burst activity, phagocytic capacity and IgM production) and immune‐related gene expression (i.e., proinflammatory cytokines) in fish have been manly analysed, demonstrating modulation upon microalgal administration. Moreover, disease resistance to microbial pathogen challenges has also been evidenced in several studies. In this context, the present literature review aims to assemble and reveal published research about the immunostimulant properties of some microalgae and their compounds in the immune systems of farmed fish species, whether model or new, with a high potential for aquaculture. Overall, it remains unclear how microalgae or their bioactive compounds may induce or modulate signals in the immune systems of fish species; however, the inclusion of different microalgal species in fish feed has improved the immune response and increased survival to stress conditions and infectious challenges.