Increasing energy demands lead to the search for sustainable biofuels such as biodiesel from renewable sources such as algal biomass. Specially, microalgae have become increasingly popular as biodiesel feedstock due to their fast-growing rates and relatively high level of lipids. The non-catalytic transesterification reaction of microalgae oil under supercritical conditions in the presence of alcohols is an efficient process for biodiesel production and can overcome some of the limitations posed by subcritical catalytic transesterification. Two-step and one-step processes have been reported for this purpose, in the last case with extraction and transesterification stages being performed simultaneously. This works offer a systematic review using the PRISMA methodology analyzing the status of this research topic and identifying future research strategies. With this work, PRISMA methodology is applied for the first time within technological engineering fields. Moreover, this is the first specific overview on the production of biodiesel from microalgae under supercritical conditions. Several key factors such as microalgae type and operation variables including extraction oil, temperature and reaction time, pressure, water content in biomass, alcohol excess and final biodiesel properties are discussed. Further efforts need to be done in order to study the continuous biodiesel production by the development of integrated processes that involve both microalgae cultivation and biodiesel production.