Microalgae are a kind of photoautotrophic microorganism, which are small, fast in their growth rate, and widely distributed in seawater and freshwater. They have strong adaptability to diverse environmental conditions and contain various nutrients. Many scholars have suggested that microalgae can be considered as a new food source, which should be developed extensively. More importantly, in addition to containing nutrients, microalgae are able to produce a great number of active compounds such as long-chain unsaturated fatty acids, pigments, alkaloids, astaxanthin, fucoidan, etc. Many of these compounds have been proven to possess very important physiological functions such as anti-oxidation, anti-inflammation, anti-tumor functions, regulation of the metabolism, etc. This article aimed to review the physiological functions and benefits of the main microalgae-derived bioactive molecules with their physiological effects.