Microbial lipids are promising substitutes for petroleum and plant oil. However, the industrialization of microbial lipids is still limited and cannot compete with petrochemical petroleum due to its high production cost. Microorganisms capable of accumulating lipids and additional valuable chemicals are attractive for improving the economics of the microbial lipid production process. Compared with the increase in production of complex metabolic engineering to improve the overall economy, the multi‐chemical co‐production system is more advantageous in balancing the metabolic flux and optimal cell physiological recovery. In this review, various chemicals co‐produced with microbial lipids are classified according to their cell location. Efficient strategies, including the fermentation process and genetic engineering for regulating and enhancing such co‐production systems, are comprehensively discussed. The prospective and challenges during the scale‐up of lipids and valuable chemicals co‐production process are also highlighted.