Algae, a blue resource with high nutritional value and environmental regulation functions, have cell walls and extracellular matrices rich in various functional groups. These characteristics enable algae to accumulate harmful heavy metals, such as lead (Pb), cadmium (Cd), arsenic (As), and mercury (Hg) easily, posing potential food safety risks. In this review, we cover the sources, accumulation mechanisms, and speciation of heavy metals in algae, focusing on the principles, effects, and applicability of major removal techniques, including physical (heat treatment, ultrasound, and high pressure), chemical (acid washing, chelating agents, and natural deep eutectic solvents), biological (fermentation, enzymatic hydrolysis, and microbial conversion), and adsorption methods. In addition, the potential applications of combined multi-technique approaches are explored. Current studies face challenges such as an insufficient understanding of speciation, difficulty in balancing efficient removal and nutrient retention, and the underdevelopment of green processing routes and industrial support systems. Future research should focus on multiscale mechanistic analysis, the development of green and mild processes, and the strengthening of industrial application frameworks, aiming to enhance the food safety of algae products and promote high-quality industrial development.