A separation process was established to sequentially fractionate and recover three anti-inflammatory components derived from sugars, phycobiliprotein, and chlorophyll from the hot-air-dried thalli of the red alga dulse (Palmaria palmata). The developed process consisted of three steps, without the use of organic solvents. In Step I, the sugars were separated by disrupting the cell wall of the dried thalli with a polysaccharide-degrading enzyme, and a sugar-rich extract (E1) was obtained by precipitating the other components, which were simultaneously eluted by acid precipitation. In Step II, the residue suspension from Step I was digested with thermolysin to obtain phycobiliprotein-derived peptides (PPs), and a PP-rich extract (E2) was obtained by separating the other extracts using acid precipitation. In Step III, solubilized chlorophyll was obtained by heating the residue, which was acid-precipitated, neutralized, and re-dissolved to concentrate the chlorophyll-related components (Chls)-rich extract (E3). These three extracts suppressed inflammatory-cytokine secretion by lipopolysaccharide (LPS)-stimulated macrophages, confirming that the sequential procedure had no negative effects on the activities of any of the extracts. The E1, E2, and E3 were rich in sugars, PPs, and Chls, respectively, indicating that the anti-inflammatory components were effectively fractionated and recovered through the separation protocol.