Marine microalgae constitute a natural source of a variety of drugs for pharmaceutical, food and cosmetic applications—which encompass carotenoids, among others. A growing body of experimental evidence has confirmed that these compounds can play important roles in prevention (and even treatment) of human diseases and health conditions, e.g., cancer, cardiovascular problems, atherosclerosis, rheumatoid arthritis, muscular dystrophy, cataracts and some neurological disorders. The underlying features that may account for such favorable biological activities are their intrinsic antioxidant, anti-inflammatory and antitumoral features. In this invited review, the most important issues regarding synthesis of carotenoids by microalgae are described and discussed—from both physiological and processing points of view. Current gaps of knowledge, as well as technological opportunities in the near future relating to this growing field of interest, are also put forward in a critical manner.