Algae biomass has recently attracted the attention of the green energy industry as a raw material for biofuels production. Their high-water content has led to the choice of hydrothermal liquefaction as a suitable way to convert them into bio-oil. From algae species to bio-oil as fuel, many steps are required, including the selection of algae species and process parameters (including catalysts), the liquefaction process, product separation, recovery of crude bio-oil, and subsequent upgrading (if the goal is to use the bio-oil as transportation fuel). This review gives some biochemical, elemental, and inorganic compositions of algae. The reaction mechanism of hydrothermal liquefaction is briefly described, with an emphasis on the influence of process parameters on the yield and quality of the crude bio-oil. The use of organic solvents as reaction media or for recovery of crude bio-oil from product mixtures is discussed. The research work on the catalytic hydrothermal upgrading of algae liquefied crude bio-oil in recent years is reviewed, and some conclusions are put forward. According to recent reports, there is a section devoted to the techno-economic analysis of the hydrothermal liquefaction process. Finally, the challenges that future research and new development strategies may face are proposed.