Marine microalgae have been used for a long time as food for humans, such as Arthrospira (formerly, Spirulina), and for animals in aquaculture. The biomass of these microalgae and the compounds they produce have been shown to possess several biological applications with numerous health benefits. The present review puts up-to-date the research on the biological activities and applications of polysaccharides, active biocompounds synthesized by marine unicellular algae, which are, most of the times, released into the surrounding medium (exo- or extracellular polysaccharides, EPS). It goes through the most studied activities of sulphated polysaccharides (sPS) or their derivatives, but also highlights lesser known applications as hypolipidaemic or hypoglycaemic, or as biolubricant agents and drag-reducers. Therefore, the great potentials of sPS from marine microalgae to be used as nutraceuticals, therapeutic agents, cosmetics, or in other areas, such as engineering, are approached in this review.