The microalga Coelastrella rubescens dwells in habitats with excessive solar irradiation; consequently, it must accumulate diverse compounds to protect itself. We characterized the array of photoprotective compounds in C. rubescens. Toward this goal, we exposed the cells to high fluxes of visible light and UV-A and analyzed the ability of hydrophilic and hydrophobic extracts from the cells to absorb radiation. Potential light-screening compounds were profiled by thin layer chromatography and UPLC-MS. Coelastrella accumulated diverse carotenoids that absorbed visible light in the blue–green part of the spectrum and mycosporine-like amino acids (MAA) that absorbed the UV-A. It is the first report on the occurrence of MAA in Coelastrella. Two new MAA, named coelastrin A and coelastrin B, were identified. Transmission electron microscopy revealed the development of hydrophobic subcompartments under the high light and UV-A exposition. We also evaluate and discuss sporopollenin-like compounds in the cell wall and autophagy-like processes as the possible reason for the decrease in sunlight absorption by cells, in addition to inducible sunscreen accumulation. The results suggested that C. rubescens NAMSU R1 accumulates a broad range of valuable photoprotective compounds in response to UV-A and visible light irradiation, which indicates this strain as a potential producer for biotechnology.