Isochrysis galbana is a microalga that is a potential source of several ‘compounds of interest’ for food and nutraceutical industries. The procurement of these compounds of interest and the generation of bioenergy is a novel and interesting application of microalgae. The present study evaluated the valorization of the microalga I. galbana through the extraction of the carotenoid fucoxanthin and polyunsaturated fatty acids using supercritical fluid extraction (SFE). The spent or extracted microalga I. galbana was valorized through anaerobic digestion (AD) to produce biogas through the integration of the concepts of biorefinery and the circular economy. The biochemical composition of the extracted microalga exhibited a marked decrease in the carbohydrates by approximately ninefold after the SFE, while the proteins and lipids were decreased only to nearly half of their initial contents. The methane (CH₄) yields obtained for non-extracted I. galbana and supercritical fluid-extracted I. galbana were 104 ± 5 L_STP CH₄ kg^–1 VS and 90 ± 2 L_STP CH₄ kg^–1 VS (VS: volatile solids), respectively, indicating the methane yield loss of only 14.2% when using the extracted microalga. In order to increase methane production, different co-digestion mixtures of I. galbana and olive mill solid waste (OMSW) were evaluated. The methane yield increased to 134 ± 4 and 189 ± 5 mL_STP CH₄ g^–1 VS for the VS/TKN ratio (w/w) of 20 and 30, respectively (TKN: Total Kjeldahl Nitrogen). These results were encouraging due to the positive synergism established between the co-substrates.