Microalgae as an environmentally friendly renewable feedstock can be processed into an array of products via conversion technologies such as algal lipid upgrading, liquefaction, pyrolysis, gasification, and bioethanol technology. As a unique chemical reaction, pyrolysis of microalgae yields useful chemicals like light olefins, alkanes, syngas, and biochar, as well as the bio-oils with less oxygen, more hydrocarbons, and higher gross heating values than the bio-oils derived from cellulosic biomass. The article reviews direct pyrolysis and catalytic pyrolysis of microalgae, pyrolytic products, reaction mechanisms, and upgrading of microalgal bio-oils. Based on critical analyses of the state-of-the-art developments in this field, the article provides the following perspectives. The current major bottleneck of microalgal technologies is still the productivity, which makes microalgae less abundant than cellulosic biomass at this stage. Biorefinery of microalgae shall be further developed to produce multiple products from various microalgal species. Determination of high value-added chemicals that can be produced from microalgae, especially from microalgal proteins, might significantly promote the development of the conversion technologies and related catalytic science. Designing novel catalysts for the selective conversion of microalgae into fine chemicals may increase the effective use of microalgae and the economics of the process. With the advancement of science and technology, catalytic pyrolysis technology has the potential to process microalgae into biofuels and fine chemicals.