Microalgae and cyanobacteria are photosynthetic microorganisms capable of synthesizing several biocompounds, including polysaccharides with antioxidant, antibacterial, and antiviral properties. At the same time that the accumulation of biomolecules occurs, microalgae can use wastewater and gaseous effluents for their growth, mitigating these pollutants. The increase in the production of polysaccharides by microalgae can be achieved mainly through nutritional limitations, stressful conditions, and/or adverse conditions. These compounds are of commercial interest due to their biological and rheological properties, which allow their application in various sectors, such as pharmaceuticals and foods. Thus, to increase the productivity and competitiveness of microalgal polysaccharides with commercial hydrocolloids, the cultivation parameters and extraction/purification processes have been optimized. In this context, this review addresses an overview of the production, characterization, and potential applications of polysaccharides obtained by microalgae and cyanobacteria. Moreover, the main opportunities and challenges in relation to obtaining these compounds are highlighted.