Microalgae are sources of nutritional products and biofuels. However, their economical processing is challenging, because of (i) the inherently low concentration of biomass in algal cultures, below 0.5%, (ii) the high-water content in the harvested biomass, above 70%; and (iii) the variable intracellular content and composition. Cell wall structure and strength vary enormously among microalgae, from naked Dunaliella cells to robust Haematococcus cysts. High-value products justify using fast and energy-intensive processes, ranging from 0.23 kWh/kg dry biomass in high-pressure homogenization, to 6 kWh/kg dry biomass in sonication. However, in biofuels production, the energy input must be minimized, requiring slower, thermal or chemical pretreatments. Whichever the primary fraction of interest, the spent biomass can be processed into valuable by-products. This review discusses microalgal cell structure and composition, how it affects pretreatment, focusing on technologies tested for large scale or promising for industrial processes, and how these can be integrated into algal biorefineries.