Biofuels have become an attractive energy source because of the growing energy demand and environmental issues faced by fossil fuel consumption. Algal biomass, particularly microalgae, has excellent potential as feedstock to be converted to bio-oil, biochar, and combustible syngas via thermochemical conversion processes. Third-generation biofuels from microalgal feedstock are the promising option, followed by the first-generation and second-generation biofuels. This paper provides a review of the applications of thermochemical conversion techniques for biofuel production from algal biomass, comprising pyrolysis, gasification, liquefaction, and combustion processes. The progress in the thermochemical conversion of algal biomass is summarized, emphasizing the application of pyrolysis for its benefits over other processes. The review also encompasses the challenges and perspectives associated with the valorization of microalgae to biofuels ascertaining the potential opportunities and possibilities of extending the research into this area.