Cold environments include deep ocean, alpine, and polar areas. Even if the cold conditions are harsh and extreme for certain habitats, various species have been adapted to survive in them. Microalgae are among the most abundant microbial communities which have adapted to live in low light, low temperature, and ice coverage conditions typical of cold environments by activating different stress-responsive strategies. These species have been shown to have bioactivities with possible exploitation capabilities for human applications. Even if they are less explored compared to species living in more accessible sites, various activities have been highlighted, such as antioxidant and anticancer activities. This review is focused on summarizing these bioactivities and discussing the possible exploitation of cold-adapted microalgae. Thanks to the possibility of mass cultivating algae in controlled photobioreactors, eco-sustainable exploitation is in fact possible by sampling a few microalgal cells without impacting the environment.