Coral reefs are the most biodiversity-rich ecosystems in the world’s oceans. Coral establishes complex interactions with various microorganisms that constitute an important part of the coral holobiont. The best-known coral endosymbionts are Symbiodiniaceae dinoflagellates. Each member of the coral microbiome contributes to its total lipidome, which integrates many molecular species. The present study summarizes available information on the molecular species of the plasma membrane lipids of the coral host and its dinoflagellates (phosphatidylcholine (PC), phosphatidylethanolamine (PE), phosphatidylserine (PS), phosphatidylinositol (PI), ceramideaminoethylphosphonate, and diacylglyceryl-3-O-carboxyhydroxymethylcholine), and the thylakoid membrane lipids of dinoflagellates (phosphatidylglycerol (PG) and glycolipids). Alkyl chains of PC and PE molecular species differ between tropical and cold-water coral species, and features of their acyl chains depend on the coral’s taxonomic position. PS and PI structural features are associated with the presence of an exoskeleton in the corals. The dinoflagellate thermosensitivity affects the profiles of PG and glycolipid molecular species, which can be modified by the coral host. Coral microbiome members, such as bacteria and fungi, can also be the source of the alkyl and acyl chains of coral membrane lipids. The lipidomics approach, providing broader and more detailed information about coral lipid composition, opens up new opportunities in the study of biochemistry and ecology of corals.