The aim of this study was the development of an efficient “green” extraction method of Nannochloropsis oculata to produce antioxidant extracts and nutritious residual biomass. Twenty-one extraction methods were evaluated by measuring the reactivity with the Folin–Ciocalteu reagent: ultrasonication or maceration at different temperatures with different organic solvents, extraction at different pH values, enzyme-assisted extraction, encapsulation with β-cyclodextrin, and the use of natural deep eutectic solvents. Ultrasound-assisted extraction with ethanol or betaine: 1,2-propanediol in a molar ratio of 2:5 (BP) had optimal extractive capacity. Both extracts were evaluated with antioxidant assays and the ethanol extract exhibited significantly higher (at least twofold) values. The determination of carotenoids by LC-MS and HPLC-DAD revealed the dominance of violaxanthin and antheraxanthin and their fourfold higher concentrations in the ethanol extract. The 1H-NMR characterization of the ethanol extract confirmed the results of the colorimetric and chromatographic assays. The microalgal biomass was characterized before and after the extraction in terms of humidity, ash, carbohydrates, proteins, chlorophyll-a, carotenoids, and lipids; the identity and content of the latter were determined with gas chromatography. BP caused a smaller depletion of the lipids from the biomass compared to ethanol, but proteins, carbohydrates, and ash were at a higher content in the biomass obtained after ethanol extraction, whereas the biomass was dry and easy to handle. Although further optimization may take place for the scale-up of those procedures, our study paves the way for a green strategy for the valorization of microalgae in cosmetics without generating waste, since the remaining biomass can be used for aquafeed.