The world climate crisis has triggered the search for renewable energy sources. Oleaginous yeasts are a potential renewable source of biofuels. However, the yeast-derived biofuels cost is still non-competitive with the fossil fuel prices. To improve the sustainability of yeast-derived biofuels, it is necessary to valorize all yeast biomass fractions, an approach based on the biorefinery concept. This review describes the present situation of the oleaginous yeast biorefinery research, emphasizing the feedstock, processes and techniques involved in this concept, as well as on potential bioproducts that can be obtained from oleaginous yeast biomass.