Thallium (Tl+) is a trace metal with extreme toxicity and is highly soluble in water, posing a great risk to ecological and human safety. This work aimed to investigate the role played by Tl+ in regulating lipid accumulation in microalgae and the removal efficiency of Tl+. The effect of Tl+ on the cell growth, lipid production and Tl+ removal efficiency of Parachlorella kessleri R-3 was studied. Low concentrations of Tl+ had no significant effect on the biomass of microalgae. When the Tl+ concentration exceeded 5 μg L−1, the biomass of microalgae showed significant decrease. The highest lipid content of 63.65% and lipid productivity of 334.55 mg L−1 d−1 were obtained in microalgae treated with 10 and 5 μg L−1 Tl+, respectively. Microalgae can efficiently remove Tl+ and the Tl+ removal efficiency can reach 100% at Tl+ concentrations of 0–25 μg L−1. The maximum nitric oxide (NO) level of 470.48 fluorescence intensity (1 × 106 cells)−1 and glutathione (GSH) content of 343.51 nmol g−1 (fresh alga) were obtained under 5 μg L−1 Tl+ stress conditions. Furthermore, the exogenous donor sodium nitroprusside (SNP) supplemented with NO was induced in microalgae to obtain a high lipid content (59.99%), lipid productivity (397.99 mg L−1 d−1) and GSH content (430.22 nmol g−1 (fresh alga)). The corresponding analysis results indicated that NO could participate in the signal transduction pathway through modulation of reactive oxygen species (ROS) signaling to activate the antioxidant system by increasing the GSH content to eliminate oxidative damage induced by Tl+ stress. In addition, NO regulation of ROS signaling may enhance transcription factors associated with lipid synthesis, which stimulates the expression of genes related to lipid synthesis, leading to increased lipid biosynthesis in microalgae. Moreover, it was found that the change in Tl+ had little effect on the fatty acid components and biodiesel properties. This study showed that Tl+ stress can promote lipid accumulation in microalgae for biodiesel production and simultaneously effectively remove Tl+, which provided evidence that NO was involved in signal transduction and antioxidant defense, and improved the understanding of the interrelation between NO and ROS to regulate lipid accumulation in microalgae.