In this work, the usefulness of CE-MS to monitor and optimize the pressurized liquid extraction (PLE) of proteins from Spirulina platensis microalga is demonstrated. Crude and purified PLE extracts from microalga were analyzed by CE-MS. It was observed that the use of purification protocols of phycobiliproteins (namely, ultrafiltration or precipitation-dialysis-freeze drying) resulted in better CE resolution and MS signals, demonstrating that sample matrix plays an important role in CE-MS of proteins in real samples. Ultrafiltration was found less laborious and much faster than precipitation-dialysis-freeze drying (1 vs. 48 h). Direct analysis of crude extracts was demonstrated to be also possible by CE-MS, providing less-quality information but enough to characterize FILE extracts in a much faster way. Therefore, the latter protocol was selected to monitor and optimize the extraction process of phycobiliproteins from S. platensis. To do that, different extraction conditions were tested, including time, temperature and pressure of extraction, nature of pressurized liquid, distribution of microalga inside the extraction cell, type of packing, etc. It is demonstrated that the combined use of PLE and CE-MS allows the attainment of extracts rich in phycobiliproteins in short extraction times (namely, yields of 20% can be obtained in less than 2 h under the optimum PLE process in an automatic way). To our knowledge, this work shows for the first time the usefulness of CE-MS for monitoring and optimizing a PLE process.