We study the velocity distribution of unicellular swimming algae Euglena gracilis using optical microscopy and theory. To characterize a peculiar feature of the experimentally observed distribution at small velocities we use the concept of active fluctuations, which was recently proposed for the description of stochastically self-propelled particles [Romanczuk, P. and Schimansky-Geier, L., Phys. Rev. Lett. 106, 230601 (2011)]. In this concept, the fluctuating forces arise due to internal random performance of the propulsive motor. The fluctuating forces are directed in parallel to the heading direction, in which the propulsion acts. In the theory, we introduce the active motion via the depot model [Schweitzer et al., Phys. Rev. Lett. 80, 23, 5044 (1998)]. We demonstrate that the theoretical predictions based on the depot model with active fluctuations are consistent with the experimentally observed velocity distributions. In addition to the model with additive active noise, we obtain theoretical results for a constant propulsion with multiplicative noise.