To enhance the removal of COD (Chemical Oxygen Demand) by microalgae, this study constructed a novel microalgae–microalgae microbial fuel cell system (AA-MFC). It investigated the coupling relationship between the COD treatment efficiency at the anode and the production of high-value microalgal products at the cathode, as well as explored the effects of different initial inoculum densities and light–dark cycles. The experiment first measured the operational performance of the newly constructed AA-MFC in open-circuit and closed-circuit modes, demonstrating that this novel AA-MFC could start up rapidly within 32 h and operate stably. The results showed that the AA-MFC enhanced the removal of COD and the growth of microalgae biomass at the anode while maintaining stable power generation. When the initial inoculation density of the anode was 1.2 × 108 cell/cm2 and the light–dark cycle time was 18:6 h, the AA-MFC had the most obvious promoting effect on the COD removal of the anode. Compared with normal culture conditions, the COD removal rate increased by 26.0% to 96.1%. These results indicate that the AA-MFC can not only effectively remove pollutants, but also promote the accumulation of high-value microalgae biomass.