Polyunsaturated fatty acids (PUFAs), such as γ-linolenic acid, arachidonic acid, eicosapentaenoic acid, and docosahexaenoic acid, are highly valued in the global market due to their physiological effects and health benefits. Concerns related to overfishing and marine ecosystem degradation have driven interest in microalgal lipids as a sustainable and eco-friendly alternative for PUFA production. Despite some success in commercializing microalgal lipid products, they still fail to meet global demand. Advances in high-throughput omics technologies, including genomics, transcriptomics, proteomics, and metabolomics, have deepened the understanding of lipid biosynthesis in microalgae. This review explores the potential of multi-omics approaches to elucidate PUFA biosynthesis pathways, identify key regulatory genes, and optimize metabolic engineering strategies for enhanced lipid production. Additionally, this review discusses how multi-omics technologies address challenges in large-scale cultivation, promoting the industrialization of microalgal lipid productions. These insights provide a foundation for improving microalgal PUFA yields to meet growing global demand.