Thraustochytrids produce fatty acids in high yields. However, the high cost of raw materials required by the traditional culture method has largely hindered the industrialization of thraustochytrids. Searching for cheap raw materials with high utility and easy availability has thus become a major research concern. In this paper, thraustochytrids and their potential in producing fatty acids are reviewed, with a focus on the utilization of industrial and agricultural wastes as nutritional sources in the production of fatty acids by thraustochytrids. We expect this review to provide information for future research.