Microbial oils are proposed as a suitable alternative to petroleum-based chemistry in terms of environmental preservation. These oils have traditionally been studied using sugar-based feedstock, which implies high costs, substrate limitation, and high contamination risks. In this sense, low-cost carbon sources such as volatile fatty acids (VFAs) are envisaged as promising building blocks for lipid biosynthesis to produce oil-based bioproducts. VFAs can be generated from a wide variety of organic wastes through anaerobic digestion and further converted into lipids by oleaginous yeasts (OYs) in a fermentation process. These microorganisms can accumulate in the form of lipid bodies, lipids of up to 60% wt/wt of their biomass. In this context, OY is a promising biotechnological tool for biofuel and bioproduct generation using low-cost VFA media as substrates. This review covers recent advances in microbial oil production from VFAs. Production of VFAs via anaerobic digestion processes and the involved metabolic pathways are reviewed. The main challenges as well as recent approaches for lipid overproduction are also discussed.