Farmed fish and shrimp are continuously challenged by multiple stressors during their life stages, such as hypoxia, pH fluctuations, different salinities, high nitrite, un-ionized ammonia, injury during handling, inadequate nutrition, or food shortage, which can eventually adversely impact their health, welfare, and growth rates. Besides, these stressors can weaken production and decrease their resistance to diseases. Scientists and researchers have been making concerted efforts to find new, safe, and inexpensive supplements to mitigate the negative influences of stressors and thereby enhance the productivity of farmed aquatic animals. Some microalgae are microscopic unicellular organisms that were found to be promising feed supplements due to their richness in important nutrients such as minerals and vitamins. Moreover, some microalgae contain several bioactive phytochemicals that exhibit anti-inflammatory, antioxidant, and immunomodulatory properties. Several field-controlled studies provided evidence that using microalgae as feed supplements led to improved growth, physiological functions, immunity, antioxidant capacity, and disease resistance in farmed finfish and shellfish species. This review article emphasizes the beneficial role of the cyanobacterium Arthrospira platensis and seven microalgal species, including Chlorella vulgaris, Parietochloris incisa, Dunaliella salina, Aurantiochytrium sp., Haematococcus pluvialis, Tetraselmis sp., and Nannochloropsis oculata in mitigating stress effects in farmed finfish and shellfish species. The conclusions of this article throw light on the potential benefits of using microorganisms in aquaculture.