Microscopic, photosynthetic prokaryotes and eukaryotes, collectively referred to as microalgae, are widely studied to improve our understanding of key metabolic pathways (e.g., photosynthesis) and for the development of biotechnological applications. Omics technologies, which are now common tools in biological research, have been shown to be critical in microalgal research. In the past decade, significant technological advancements have allowed omics technologies to become more affordable and efficient, with huge datasets being generated. In particular, where studies focused on a single or few proteins decades ago, it is now possible to study the whole proteome of a microalgae. The development of mass spectrometry-based methods has provided this leap forward with the high-throughput identification and quantification of proteins. This review specifically provides an overview of the use of proteomics in fundamental (e.g., photosynthesis) and applied (e.g., lipid production for biofuel) microalgal research, and presents future research directions in this field.