The use and transformation of biomass into highly valuable products is a key element in circular economy models. The purpose of this research was to characterise the volatile compounds and the temperature at which they are emitted during the thermal decomposition by pyrolysis of algal biomass while looking at three different types: (A1) endemic microalgae consortium, (A2) photobioreactor microalgae consortium and (A3) Caribbean macroalgae consortium. Furthermore, the ultimate (CHON) and proximate (humidity, volatile solids and ashes) compositions of the algal biomass were determined. Some volatile species were identified as having potential industrial interest for use as precursors and intermediaries, such as commercially used aromatic compounds which if not suitably managed can be harmful to our health and the environment. It is concluded that the pyrolysis of algal biomass shows potential for the generation of valuable products. The information generated is useful, especially the temperature at which volatility occurs, in order to access the valuable compounds offered by the algal biomasses, and under the concept of biorefinery convert the issue of biomass disposal into a sustainable source of raw materials.