Microalgae present a unique, dual-purpose platform for addressing two of the most urgent global challenges: sustainable energy and nutritional security. With rapid growth, high lipid content, and minimal land and water requirements, microalgae offer a scalable and sustainable source for both biodiesel and omega-3. This review is the first to provide a comprehensive analysis of the entire microalgae production chain, from cultivation to downstream conversion, focused specifically on biodiesel and omega-3 pathways. A structured literature review was conducted across Elsevier, Wiley, and Springer (2016–2024), using predefined inclusion/exclusion criteria. Risk of bias was assessed based on study design, data transparency, and measurement methods. Key findings reveal that raceway ponds and photobioreactors offer the best trade-off between scalability and productivity. Supercritical CO₂ and microwave-assisted extraction techniques outperform conventional solvent methods in enhancing both biodiesel yield and omega-3 quality. Stress-induced nutrient limitation strategies (e.g., nitrogen depletion) consistently boosted lipid accumulation without genetic modification. Integrating cultivation with municipal or industrial wastewater reduced operational costs while contributing to carbon mitigation and nutrient recycling. Despite economic and scale-up barriers, such as high photobioreactor capital costs and light penetration inefficiencies, recent innovations including hybrid cultivation systems, adaptive evolution, and co-product valorization demonstrate strong potential to overcome these limitations. The simultaneous production of biodiesel and omega-3 from a single microalgae biomass stream also aligns directly with multiple Sustainable Development Goals (SDGs). The insights herein offer a decision-support foundation for advancing these dual-value lipid streams from microalgae toward scalable, policy-aligned, and market-responsive implementation in the global bioeconomy.