Microbial lipids (bacterial, yeast, or algal) production and its utilization as a feedstock for biodiesel production in a sustainable and economical way along with waste degradation is a promising technology. Oleaginous yeasts have demonstrated multiple advantages over algae and bacteria such as high lipid yields, lipid similarity to vegetable oil, and requirement of lesser area for cultivation. Oleaginous yeasts grown on lignocellulosic solid waste as renewable feedstocks have been widely reported and reviewed. Recently, industrial effluents and other liquid wastes have been evaluated as feedstocks for biodiesel production from oleaginous yeasts. The idea of the utilization of wastewater for the growth of oleaginous yeasts for simultaneous wastewater treatment and lipid production is gaining attention among researchers. However, the detailed knowledge on the economic aspects of different process involved during the conversion of oleaginous yeast into lipids hinders its large-scale application. Therefore, this review aims to provide an overview of yeast-derived biodiesel production by utilizing industrial effluents and other liquid wastes as feedstocks. Various technologies for biomass harvesting, lipid extraction and the economic aspects specifically focused on yeast biodiesel production were also analyzed and reported in this review. The utilization of liquid wastes and the incorporation of cost-efficient harvesting and lipid extraction strategy would facilitate large-scale commercialization of biodiesel production from oleaginous yeasts in near future.