The marine alga Nannochloropsis oceanica can synthesize the high-value ketocarotenoid canthaxanthin yet at an extremely low level. Introducing a β-carotenoid ketolase from Chlamydomonas reinhardtii into the chloroplast for expression, enabled N. oceanica to synthesize substantial amounts of canthaxanthin and grow better under high light. Compared to wild type, the engineered strain had higher levels of primary carotenoids and chlorophyll a as well, and synthesized more eicosapentaenoic acid (EPA, an ω3 polyunsaturated fatty acids). Further metabolic engineering by enhancing the flux to carotenoids or suppressing competing pathways allowed for a considerable increase of canthaxanthin, reaching 4.7 mg g−1 dry weight. A fed-batch culture strategy with nitrate and phosphate replenishment was developed for the co-production of canthaxanthin and EPA, which within a 10-day period reached 37.6 and 268.8 mg/L, respectively. This study sheds light on manipulating the industrially relevant alga for efficient co-production of high-value biochemicals from CO2.