Microalgae are microorganisms with a singular biochemical composition, including several biologically active compounds with proven pharmacological activities, such as anticancer, antioxidant and anti-inflammatory activities, among others. These properties make microalgae an interesting natural resource to be used as a functional ingredient, as well as in the prevention and treatment of diseases, or cosmetic formulations. Nevertheless, natural bioactives often possess inherent chemical instability and/or poor solubility, which are usually associated with low bioavailability. As such, their industrial potential as a health-promoting substance might be severely compromised. In this context, encapsulation systems are considered as a promising and emerging strategy to overcome these shortcomings due to the presence of a surrounding protective layer. Diverse systems have already been reported in the literature for natural bioactives, where some of them have been successfully applied to microalgae compounds. Therefore, this review focuses on exploring encapsulation systems for microalgae biomass, their extracts, or purified bioactives for food, pharmaceutical, and cosmetic purposes. Moreover, this work also covers the most common encapsulation techniques and types of coating materials used, along with the main findings regarding the beneficial effects of these systems.