Marine microalgae are regarded as potential feedstock because of their multiple valuable compounds, including lipids, pigments, carbohydrates, and proteins. Some of these compounds exhibit attractive bioactivities, such as carotenoids, ω-3 polyunsaturated fatty acids, polysaccharides, and peptides. However, the production cost of bioactive compounds is quite high, due to the low contents in marine microalgae. Comprehensive utilization of marine microalgae for multiple compounds production instead of the sole product can be an efficient way to increase the economic feasibility of bioactive compounds production and improve the production efficiency. This paper discusses the metabolic network of marine microalgal compounds, and indicates their interaction in biosynthesis pathways. Furthermore, potential applications of co-production of multiple compounds under various cultivation conditions by shifting metabolic flux are discussed, and cultivation strategies based on environmental and/or nutrient conditions are proposed to improve the co-production. Moreover, biorefinery techniques for the integral use of microalgal biomass are summarized. These techniques include the co-extraction of multiple bioactive compounds from marine microalgae by conventional methods, super/subcritical fluids, and ionic liquids, as well as direct utilization and biochemical or thermochemical conversion of microalgal residues. Overall, this review sheds light on the potential of the comprehensive utilization of marine microalgae for improving bioeconomy in practical industrial application.