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The heterotrophic nitrogen (N) deprivation (HND) was the first employed to culture Chlorella protothecoides for microalgal lipids, which are regarded as one of the most promising feedstocks for biodiesel production. First, C. protothecoides was cultivated heterotrophically to achieve high biomass, and the broth was then transferred to N deprivation environment for lipid accumulation. This study aims to investigate proteomic changes in C. protothecoides cells and identify the molecular pathways responsible for lipid storage with HND. Approximately 72% of biomass (13.89 g/L) accumulated as lipids after 240 h, which equates to a lipid productivity of 10.0 g/L. This result represents an increase of 79.5% compared with the lipid yield from the simple heterotrophic mode. Furthermore, 33 altered proteins in HND-cultured algal cells were successfully identified, including 13 down-regulated proteins involved in photosynthesis, protein synthesis and folding, gene regulation and β-oxidation of fatty acids; 15 up-regulated proteins related to carbohydrate metabolism, stress response and defense, amino acid biosynthesis and secondary metabolite biosynthesis; and 5 hypothetical proteins. Analysis using the Kyoto encyclopedia of genes and genomes showed that the carbohydrate metabolism and inhibition of fatty acid catabolism are major routes for lipid accumulation in algal cells. Our results proved that the combination of heterotrophism and N deprivation can increase lipid productivity for algal-based biodiesel. In future studies, further functional analysis of these altered proteins would help elucidate the complicated relationship between cell growth and lipid accumulation in microalgae.