Microalgae have demonstrated a large potential in biotechnology as a source of various macromolecules (proteins, carbohydrates, and lipids) and high-added value products (pigments, poly-unsaturated fatty acids, peptides, exo-polysaccharides, etc.). The production of biomass at a large scale becomes more economically feasible when it is part of a biorefinery designed within the circular economy concept. Thus, the aim of this critical review is to highlight and discuss challenges and future trends related to the multi-product microalgae-based biorefineries, including both phototrophic and mixotrophic cultures treating wastewater and the recovery of biomass as a source of valuable macromolecules and high-added and low-value products (biofertilizers and biostimulants). The therapeutic properties of some microalgae-bioactive compounds are also discussed. Novel trends such as the screening of species for antimicrobial compounds, the production of bioplastics using wastewater, the circular economy strategy, and the need for more Life Cycle Assessment studies (LCA) are suggested as some of the future research lines.