In the present work, a comprehensive methodology to carry out the screening for novel natural functional compounds is presented. To do that, a new strategy has been developed including the use of unexplored natural sources (i.e., algae and microalgae) together with environmentally clean extraction techniques and advanced analytical tools. The developed procedure allows also estimating the functional activities of the different extracts obtained and even more important, to correlate these activities with their particular chemical composition. By applying this methodology it has been possible to carry out the screening for bioactive compounds in the algae Himanthalia elongata and the microalgae Synechocystis sp. Both algae produced active extracts in terms of both antioxidant and antimicrobial activity. The obtained pressurized liquid extracts were chemically characterized by GC-MS and HPLC-DAD. Different fatty acids and volatile compounds with antimicrobial activity were identified, such as phytol, fucosterol, neophytadiene or palmitic, palmitoleic and oleic acids. Based on the results obtained, ethanol was selected as the most appropriate solvent to extract this kind of compounds from the natural sources studied.