The marine oleaginous protist Aurantiochytrium sp. (Schizochytrium sp.) is a well-known docosahexaenoic acid (DHA) producer and its different DHA products are the ideal substitute for the traditional fish oil resource. However, the cost of the DHA products derived from Aurantiochytrium sp. (Schizochytrium sp.) is still high, limiting their wide applications. In order to reduce the cost or improve the productivity of DHA from the microbial resource, many researches are focusing on exploring the renewable and low-cost materials as feedbacks, and/or the stimulators for biomass and DHA production. In addition, the genetic engineering is also being used in the Aurantiochytrium sp. (Schizochytrium sp.) system for further improvement. These break the bottleneck of the DHA production by Aurantiochytrium sp. (Schizochytrium sp.) in some degree. In this review, the strategies used currently to reduce cost and improve DHA productivity, mainly from the utilizations of low-cost materials and effective stimulators to the genetic engineering perspectives, are summarized, and the availabilities from the cost perspective are also evaluated. This review provides an overview about the strategies to revolve the production cost and yield of the DHA by Aurantiochytrium sp. (Schizochytrium sp.), a theoretical basis for genetic modification of Aurantiochytrium sp. (Schizochytrium sp.), and a practical basis for the development of DHA industry.