Microalgae have great potential in producing energy-dense and valuable products via thermochemical processes. Therefore, producing alternative bio-oil to fossil fuel from microalgae has rapidly gained popularity due to its environmentally friendly process and elevated productivity. This current work aims to review comprehensively the microalgae bio-oil production using pyrolysis and hydrothermal liquefaction. In addition, core mechanisms of pyrolysis and hydrothermal liquefaction process for microalgae were scrutinized, showing that the presence of lipids and proteins could contribute to forming a large amount of compounds containing O and N elements in bio-oil. However, applying proper catalysts and advanced technologies for the two aforementioned approaches could improve the quality, heating value, and yield of microalgae bio-oil. In general, microalgae bio-oil produced under optimal conditions could have 46 MJ/kg heating value and 60% yield, indicating that microalgae bio-oil could become a promising alternative fuel for transportation and power generation.