The demand for natural products isolated from microalgae has increased over the last decade and has drawn the attention from the food, cosmetic and nutraceutical industries. Among these natural products, the demand for natural antioxidants as an alternative to synthetic antioxidants has increased. In addition, microalgae combine several advantages for the development of biotechnological applications: high biodiversity, photosynthetic yield, growth, productivity and a metabolic plasticity that can be orientated using culture conditions. Regarding the wide diversity of antioxidant compounds and mode of action combined with the diversity of reactive oxygen species (ROS), this review covers a brief presentation of antioxidant molecules with their role and mode of action, to summarize and evaluate common and recent assays used to assess antioxidant activity of microalgae. The aim is to improve our ability to choose the right assay to assess microalgae antioxidant activity regarding the antioxidant molecules studied.