Astaxanthin is a red xanthophyll (oxygenated carotenoid) with large importance in the aquaculture, pharmaceutical, and food industries. The green alga Haematococcus pluvialis and the heterobasidiomycetous yeast Xanthophyllomyces dendrorhous are currently known as the main microorganisms useful for astaxanthin production at the industrial scale. The improvement of astaxanthin titer by microbial fermentation is a requirement to be competitive with the synthetic manufacture by chemical procedures, which at present is the major source in the market. In this review, we show how the isolation of new strains of X. dendrorhous from the environment, the selection of mutants by the classical methods of random mutation and screening, and the rational metabolic engineering, have provided improved strains with higher astaxanthin productivity. To reduce production costs and enhance competitiveness from an industrial point of view, low-cost raw materials from industrial and agricultural origin have been adopted to get the maximal astaxanthin productivity. Finally, fermentation parameters have been studied in depth, both at flask and fermenter scales, to get maximal astaxanthin titers of 4.7 mg/g dry cell matter (420 mg/l) when X. dendrorhous was fermented under continuous white light. The industrial scale-up of this biotechnological process will provide a cost-effective method, alternative to synthetic astaxanthin, for the commercial exploitation of the expensive astaxanthin (about $2,500 per kilogram of pure astaxanthin).