Fucoxanthin, a xanthophyll carotenoid found predominantly in brown algae and certain microalgae, has garnered considerable attention due to its substantial health benefits, including antioxidants, anti-inflammatory, and anticancer properties. The global market for fucoxanthin projected to reach approximately $1.45 billion by 2024, there arises an urgent need for efficient and sustainable extraction methodologies to meet growing consumer demand. This review examines the interplay between microalgal cell wall structure and extraction techniques, highlighting how the polysaccharide and protein composition of cell walls affects extraction efficiency and yield. Traditional solvents, such as ethanol and methanol, have proven insufficient for effective extraction, prompting the exploration of novel solvent systems, including deep eutectic solvents, which enhance extraction efficiency. Additionally, advancements in pretreatment methods including mechanical disruption, thermal treatments and enzymatic approaches have demonstrated promise in breaking down cell walls to facilitate pigment recovery. Techniques such as ultrasound-assisted and microwave-assisted extraction are also discussed for their efficacy in improving yield. This review highlights the importance of adopting species-specific extraction protocols, underscoring the crucial relationship between cell wall architecture, solvent selection and extraction techniques. By establishing optimized extraction methodologies, we can maximize fucoxanthin recovery, thereby paving the way for its broader application in the food, cosmetics, and nutraceutical industries.