Microalgae have characteristics that make them unique and full of potential. Their capacity to generate interesting bioactive molecules can add value to various industrial applications. However, most of these valuable compounds are intracellular, which makes their extraction a major bottleneck. Conventional extraction methodologies have some drawbacks, such as low eco-friendly character, high costs and energy demand, long treatment times, low selectivity and reduced extraction yields, as well as degradation of extracted compounds. The gaps found for these methods demonstrate that emergent approaches, such as ohmic heating, pulsed electric fields, ionic liquids, deep eutectic solvents, or high-pressure processing, show potential to overcome the current drawbacks in the release and extraction of added-value compounds from microalgae. These new processing techniques can potentially extract a variety of compounds, making the process more profitable and applicable to large scales. This review provides an overview of the most important and promising factors to consider in the extraction methodologies applied to microalgae. Additionally, it delivers broad knowledge of the present impact of these methods on biomass and its compounds, raising the possibility of applying them in an integrated manner within a biorefinery concept.