Aquaculture is an essential source of protein and essential fatty acids for humans. However, the sustainable development of aquaculture faces numerous challenges, including a shortage of high‐quality feed and feedstuff, and a degeneration in the safety and quality of aquatic products. This review explores how the use of microalgae as an aquafeed ingredient may help to solve these problems. Microalgae are a vital food source for larval bivalves, shrimps, and fish due to their high nutritional value and suitable cell size. Particularly, bivalves rely on microalgae as a direct feed source throughout their entire life cycle. Microalgae are also indispensable food sources or nutrient supplements for secondary live prey, including rotifers, Artemia, and copepods. Microalgae containing a large amount of protein and lipid can be used as alternatives to fishmeal and fish oil in aquafeed. Moreover, microalgae are rich in ω‐3 polyunsaturated fatty acids, carotenoids, vitamins, and β‐glucan. These bioactive substances can be used as feed additives to improve the growth rate, skin coloration, antioxidant capacity, immunity, and survival rate of aquatic animals. However, the high production cost of microalgae limits its widespread application in aquaculture. Recent advancements in the technology used to culture microalgae intensively, especially fermentation technology, have significantly improved the production efficiency and decreased the production cost. Therefore, accelerating the use of microalgae as aquafeed is crucial if sustainable aquaculture is to be achieved. The review concludes by discussing the opportunities and challenges involved in integrating microalgae into sustainable aquaculture and suggests a way forward.