A new process was tested in order to produce and purify biodiesel from microalgae lipids and to recover unsaponifiable (added-value) lipids. This process is a two-step biodiesel production including a saponification reaction step followed by an esterification reaction step. The process includes a recovery of the unsaponified lipids between both reaction steps. Among the conditions tested, the following conditions were found to be the best: temperature for both steps (90 °C), saponification time (30 min), esterification time (30 min), sulfuric acid/potassium hydroxide (1.21, w/w), and methanol-lipid ratio (13.3 mL/g). Under these conditions, the fatty acid methyl ester (FAME) yield and the biodiesel purity were, respectively, 32% (g FAME/g lipid) and 77% (g FAME/g biodiesel). This study also showed that the two-step biodiesel process allows a FAME mass composition rich in palmitate (27.9-29.4 wt%), palmitoleate (24.9-26.0 wt%), elaidate (14.8-15.2 wt%), and myristate (12.1-13.0 wt%).