Microalgae have drawn great attention as promising sustainable source of lipids and carotenoids. Their lipid and carotenoids accumulation machinery can be trigged by the stress conditions such as nutrient limitation or exposure to the damaging physical factors. However, stressful conditions often adversely affect microalgal growth and cause oxidative damage to the cells, which can eventually reduce the yield of the desired products. To overcome these limitations, two-stage cultivation strategies and supplementation of growth-promoting agents have traditionally been utilized, but developing new highly adapted strains is theoretically the simplest strategy. In addition to genetic engineering, adaptive laboratory evolution (ALE) is frequently used to develop beneficial phenotypes in industrial microorganisms during long-term selection under specific stress conditions. In recent years, many studies have gradually introduced ALE as a powerful tool to improve the biological properties of microalgae, especially for improving the production of lipid and carotenoids. In this review, strategies for the manipulation of stress in microalgal lipids and carotenoids production are summarized and discussed. Furthermore, this review summarizes the overall state of ALE technology, including available selection pressures, methods, and their applications in microalgae for the improved production of lipids and carotenoids.