As the host defense response to various injuries and pathogens in the body, inflammation can remove damaged cells and pathogens in the host organism and protect the body. However, excessive inflammation may cause damage to normal tissue cells while removing pathogens, which in turn cause numerous inflammatory diseases and adversely affect the human health. Phycocyanin is an active substance extracted from algae; it has outstanding antioxidant and anti-inflammatory activities, and can effectively inhibit various diseases caused by inflammation. This review systematically summarizes recent applications of phycocyanin against various inflammatory diseases in lung, liver, cardiovascular, and cerebrovascular systems. In addition, possible anti-inflammatory action pathways of phycocyanin are reviewed to canvass the anti-inflammatory mechanism. At last, based on the existing research, phycocyanobilin in phycocyanin is proposed as a bilirubin analog by inducing heme oxygenase 1 in vivo to suppress inflammation.