The incorporation of Arthrospira platensis into dairy products offers health benefits but is limited by its undesirable aroma and flavor. This study evaluated three deodorization strategies—adsorption by activated carbon, extraction with ethanol, and fermentation with Saccharomyces cerevisiae—to improve the sensory profile of A. platensis and enhance its acceptability in yogurt. Deodorized powders were characterized for proximal and volatile composition and used to formulate yogurts at five concentrations (0.5–2.5% w/v). Texture, aroma volatile profile, and sensory attributes were assessed after yogurt production, while shelf-life quality attributes were monitored over 29 days of refrigerated storage. Yogurts containing fermented A. platensis showed higher sensory scores (>8.7/10), the greatest purchase intent (>71.4%), and improved texture, remaining acceptable at an addition level of 2.5%. In contrast, yogurts with untreated or carbon-activated treated A. platensis were only acceptable at low addition levels (≤0.5%) due to off-flavors and textural issues. Ethanol effectively reduced aldehydes and ketones (such as Safranal and β-Ionone), while fermentation eliminated pyrazines and generated desirable alcohols and acids (such as 1-Pentanol and Butanoic acid). These findings highlight fermentation as a promising strategy to deodorize A. platensis and improve its integration into dairy matrices, enabling the development of functional yogurts with enhanced sensory quality and nutritionally relevant microalgae content.