Sustainable production of biofuels and biochemicals has been broadly accepted as a solution to lower carbon dioxide emissions. Besides being used as lubricants or detergents, oleochemicals are also attractive biofuels as they are compatible with existing transport infrastructures. Cyanobacteria are autotrophic prokaryotes possessing photosynthetic abilities with mature genetic manipulation systems. Through the introduction of exogenous or the modification of intrinsic metabolic pathways, cyanobacteria have been engineered to produce various bio-chemicals and biofuels over the past decade. In this review, we specifically summarize recent progress on photosynthetic production of fatty acids, fatty alcohols, fatty alk(a/e)nes, and fatty acid esters by genetically engineered cyanobacteria. We also summarize recent reports on fatty acid and lipid metabolisms of cyanobacteria and provide perspectives for economic cyanobacterial oleochemical production in the future.