Microalgae have been shown to be useful in several biotechnological fields due to their feasible cultivation and high-value biomolecules production. Several substances of interest produced by microalgae, such as: proteins, lipids, and natural colorants, have already been explored. Based on the continuing demand for new natural molecules, microalgae could also be a valuable source of polysaccharides. Polysaccharides are extremely important in aquaculture, cosmetics, pharmaceutical, and food industries, and have great economic impact worldwide. Despite this, reviews on microalgal polysaccharide production, biological activity, and chemical structure are not abundant. Moreover, techniques of microalgal cultivation, coupled with carbohydrate production, need to be clarified in order to develop forward-looking technologies. The present review provides an overview of the main advances in microalgal cell wall polysaccharide production, as well as their associated potential biological applications and chemical structure. Several studies on future prospects, related to microalgae are presented, highlighting the key challenges in microalgal polysaccharide production.