Microalgae are considered to be a promising and prospective source of lipids for the production of biocomponents for conventional liquid fuels. The available sources contain a lot of information about the cultivation of biomass and the amounts and composition of the resulting bio-oils. However, there is a lack of reliable and verified data on the impact of fuel blends based on microalgae biodiesel on the quality of the emitted exhaust gas. Therefore, the main objective of the study was to present the emission characteristics of a compression-ignition engine fuelled with a blend of diesel fuel and biodiesel produced from the lipids accumulated in the biomass of a heterotrophic culture of Schizochytrium sp. The final concentrations of microalgal biomass and lipids in the culture were 140.7 ± 13.9 g/L and 58.2 ± 1.1 g/L, respectively. The composition of fatty acids in the lipid fraction was dominated by decosahexaenoic acid (43.8 ± 2.8%) and palmitic acid (40.4 ± 2.8%). All parameters of the bio-oil met the requirements of the EN 14214 standard. It was found that the use of bio-components allowed lower concentrations of hydrocarbons in the exhaust gas, ranging between 33 ± 2 ppm and 38 ± 7 ppm, depending on the load level of the engine. For smoke opacity, lower emissions were found in the range of 50–100% engine load levels, where the observed content was between 23 ± 4% and 53 ± 8%.