In the food industry, manufacturers and customers have paid more attention to natural pigments instead of the synthetic counterparts for their excellent coloring ability and healthy properties. Microalgae are proven as one of the major photosynthesizers of naturally derived commercial pigments, gaining higher value in the global food pigment market. Microalgae-derived pigments, especially chlorophylls, carotenoids and phycobiliproteins, have unique colors and molecular structures, respectively, and show different physiological activities and health effects in the human body. This review provides recent updates on characteristics, application fields, stability in production and extraction processes of chlorophylls, carotenoids and phycobiliproteins to standardize and analyze their commercial production from microalgae. Potential food commodities for the pigment as eco-friendly colorants, nutraceuticals, and antioxidants are summarized for the target products. Then, recent cultivation strategies, metabolic and genomic designs are presented for high pigment productivity. Technical bottlenecks of downstream processing are discussed for improved stability and bioaccessibility during production. The production strategies of microalgal pigments have been exploited to varying degrees, with some already being applied at scale while others remain at the laboratory level. Finally, some factors affecting their global market value and future prospects are proposed. The microalgae-derived pigments have great potential in the food industry due to their high nutritional value and competitive production cost.