Algae are exclusively aquatic photosynthetic organisms that are microscopic or macroscopic, unicellular or multicellular and distributed across the globe. They are a potential source of food, feed, medicine and natural pigments. A variety of natural pigments are available from algae including chlorophyll a, b, c d, phycobiliproteins, carotenes and xanthophylls. The xanthophylls include acyloxyfucoxanthin, alloxanthin, astaxanthin, crocoxanthin, diadinoxanthin, diatoxanthin, fucoxanthin, loroxanthin, monadoxanthin, neoxanthin, nostoxanthin, perdinin, Prasinoxanthin, siphonaxanthin, vaucheriaxanthin, violaxanthin, lutein, zeaxanthin, β-cryptoxanthin, while carotenes include echinenone, α-carotene, β-carotene, γ-carotene, lycopene, phytoene, phytofluene. These pigments have applications as pharmaceuticals and nutraceuticals and in the food industry for beverages and animal feed production. The conventional methods for the extraction of pigments are solid-liquid extraction, liquid-liquid extraction and soxhlet extraction. All these methods are less efficient, time-consuming and have higher solvent consumption. For a standardized extraction of natural pigments from algal biomass advanced procedures are in practice which includes Supercritical fluid extraction, Pressurized liquid extraction, Microwave-assisted extraction, Pulsed electric field, Moderate electric field, Ultrahigh pressure extraction, Ultrasound-assisted extraction, Subcritical dimethyl ether extraction, Enzyme assisted extraction and Natural deep eutectic solvents. In the present review, these methods for pigment extraction from algae are discussed in detail.