Following first-generation and second-generation biofuels produced from food and non-food crops, respectively, algal biomass has become an important feedstock for the production of third-generation biofuels. Microalgal biomass is characterized by rapid growth and high carbon fixing efficiency when they grow. On account of potential of mass production and greenhouse gas uptake, microalgae are promising feedstocks for biofuels development. Thermochemical conversion is an effective process for biofuel production from biomass. The technology mainly includes torrefaction, liquefaction, pyrolysis, and gasification. Through these conversion technologies, solid, liquid, and gaseous biofuels are produced from microalgae for heat and power generation. The liquid bio-oils can further be upgraded for chemicals, while the synthesis gas can be synthesized into liquid fuels. This paper aims to provide a state-of-the-art review of the thermochemical conversion technologies of microalgal biomass into fuels. Detailed conversion processes and their outcome are also addressed.