The setup of an economic and sustainable method to increase the production and commercialization of products from microalgae, beyond niche markets, is a challenge. Here, a cascade approach has been designed to optimize the recovery of high valuable bioproducts starting from the wet biomass of Galdieria phlegrea. This unicellular thermo-acidophilic red alga can accumulate high-value compounds and can live under conditions considered hostile to most other species. Extractions were performed in two sequential steps: a conventional high-pressure procedure to recover phycocyanins and a solvent extraction to obtain fatty acids. Phycocyanins were purified to the highest purification grade reported so far and were active as antioxidants on a cell-based model. Fatty acids isolated from the residual biomass contained high amount of PUFAs, more than those recovered from the raw biomass. Thus, a simple, economic, and high effective procedure was set up to isolate phycocyanin at high purity levels and PUFAs.