Fatty acid alkyl esters have broad applications in biofuels, lubricant formulas, paints, coatings, and cosmetics. Traditionally, these esters are mostly produced through unsustainable and energy-intensive processes. In contrast, microbial production of esters from renewable and sustainable feedstocks may provide a promising alternative and has attracted widespread attention in recent years. At present, yeasts are used as ideal hosts for producing such esters, due to their availability for high-density fermentation, resistance to phage infection, and tolerance against toxic inhibitors. Here, we summarize recent development on the biosynthesis of alkyl esters, including fatty acid ethyl esters (FAEEs), fatty acid short-branched chain alkyl esters (FASBEs), and wax esters (WEs) by various yeast cell factories. We focus mainly on the enzyme engineering strategies of critical wax ester synthases, and the pathway engineering strategies employed for the biosynthesis of various ester products. The bottlenecks that limit productivity and their potential solutions are also discussed in this review.