Hydrothermal liquefaction (HTL) of microalgae, a process that uses water at high temperature and high pressure to make a renewable crude bio-oil, is receiving increased attention. Understanding the governing reaction pathways for the biomolecules in the microalgae cell could lead to improved conversion processes. This review collects information pertinent to the behavior of microalgae biomolecules (e.g., proteins, polysaccharides, lipids, chlorophyll) and their hydrothermal decomposition products (e.g., amino acids, sugars, fatty acids) in high temperature water (HTW). We report on studies involving individual compounds and their mixtures. The mixture systems are particularly important as they move closer to mimicking the true chemistry of HTL of microalgae by providing opportunities for interactions between different molecules that would be present during HTL. Throughout this review, we highlight gaps in the understanding of different chemical reactions that may take place during HTL of microalgae.