Microalgae have significant capacity to fix CO2 and to become a major industrial biomass resource. Examining ways to innovate the microalgae cultivation and processing value chain includes a focus on the most efficient and economical means to produce a liquid oil fraction from the microalgae species. This work compares the use of organic solvent, supercritical carbon dioxide (SC-CO2), and pyrolysis to assess their relative capacity to derive oil from the marine microalgae Tetraselmis chui. The SC-CO2 technique was shown to be the least effective in natural oil extraction from T. chui. The results reveal that pure solvent extraction produces the most complete extraction of natural oil at just under 15% by weight. Subsequent pyrolysis of the post-solvent extraction residue and examination of the byproduct suggest that extraction of natural lipids prior to thermal processing increases the total quantity of bio-oil yield production by more than 11%.