Liquefied dimethyl ether (DME) is regarded as a promising, green solvent for biomass lipid extractions. It is non-toxic, applicable to wet feedstocks, and allows easy product separation by pressure reduction. Yet, knowledge about its usability in combination with oleaginous microalgae is limited. In the current work, four common microalgae and cyanobacteria species were used to study DME extraction characteristics: Arthrospira platensis, Nannochloropsis gaditana, Phaeodactylum tricornutum, and Scenedesmus almeriensis. Dried samples were subjected to a batch DME extraction and compared to a standard chloroform/methanol procedure. To evaluate the influence of pretreatment, particle size distributions of two different milling sequences (knife- and cryo-milling) and the resulting effects on DME extraction and oil composition were addressed. Additionally, an algae washing procedure was tested. DME extractions resulted in oil yields of 0.5–2.7% of dry mass (equal to 5–19% of total lipids) without further pretreatment. Cryo-milling reduced median particle sizes by 25–87% and simultaneously increased lipid yields to 1.7–5.6% of dry mass (17–50% of total lipids). Phaeodactylum tricornutum showed the highest extraction efficiency with DME, combined with a favorable fatty acid profile. Although being most affected by the additional milling pretreatment, Arthrospira platensis performed worst in both scenarios. DME extracted oils were generally characterized by enhanced contents of C14:0, C16:0, and C16:1 fatty acids. However, relative abundances were strongly influenced by the properties of the tested algae species. The additional cryo-milling pretreatment affected fatty acid compositions by increasing the shares of potentially valuable polyunsaturated fatty acids.