Microbes have gained a lot of attention for their potential in producing polyunsaturated fatty acids (PUFAs). PUFAs are gaining scientific interest due to their important health-promoting effects on higher organisms including humans. The current sources of PUFAs (animal and plant) have associated limitations that have led to increased interest in microbial PUFAs as most reliable alternative source. The focus is on increasing the product value of existing oleaginous microbes or discovering new microbes by implementing new biotechnological strategies in order to compete with other sources. The multidisciplinary approaches, including metabolic engineering, high-throughput screening, tapping new microbial sources, genome-mining as well as co-culturing and elicitation for the production of PUFAs, have been considered and discussed in this review. The usage of agro-industrial wastes as alternative low-cost substrates in fermentation for high-value single-cell oil production has also been discussed. Multidisciplinary approaches combined with new technologies may help to uncover new microbial PUFA sources that may have nutraceutical and biotechnological importance.