Abstract: Microalgae are widely sourced and rich in bioactive compounds such as polysaccharides, proteins, lipids, and pigments, demonstrating significant potential as immune enhancers in aquaculture. Although previous studies have examined their immunomodulatory functions, systematic reviews addressing their immune mechanisms and industrialization pathways remain scarce. This paper therefore systematically reviews advances in microalgal bioactive components, action mechanisms, and engineered applications, providing an in-depth analysis of future application prospects. It reveals that microalgae can regulate the immune performance of aquatic animals including shrimp, fish, and shellfish through dual cellular and humoral immunity pathways via bioactive components such as polysaccharides and proteins. Concurrently, this paper proposes the need to establish a comprehensive engineered application system: upstream, obtaining high-quality algal strains through targeted breeding; midstream, achieving low-cost, large-scale production based on the “microalgae biorefinery” model; and downstream, integrating precise application with aquaculture scenarios while strictly controlling dosage and usage cycles. Ultimately, this approach provides innovative and sustainable technical solutions for disease prevention and control in aquaculture.