In recent years, as the algal polyunsaturated fatty acids are widely used in animal feed, the interests in the fundamental research and applied research of microalgae-based polyunsaturated fatty acids production are increasing. To support the industrial production of algal polyunsaturated fatty acids, studies in recent years have devoted numerous efforts in the algal strains screening, biosynthetic mechanisms exploration, induction conditions optimization, and algae-cultivation mode improvement. Specific factors impacting the biosynthesis of algal polyunsaturated fatty acids include temperature, illumination, salinity, and carbon supply. Two-stage cultivation is proven to be an effective method producing microalgae enriched with polyunsaturated fatty acids. In addition, the use of algal polyunsaturated fatty acids in animal feed has been proven to be a promising way to promote the sustainable development of human society. The addition of algal polyunsaturated fatty acids in feed could not only improve the fatty acid profile of animals, but also enhance the animals' immune responses. Herein, we would likely to summarize the progresses in the aforementioned fields and discuss some critical problems hindering the production and application of algal PUFAs. It is expected that this paper could not only introduce the new knowledge of algal polyunsaturated fatty acids to readers, but also point out the potential development trends of the production and application of algal polyunsaturated fatty acids in the coming future.