Fractional conversion of natural algae cyanobacteria from Taihu Lake was conducted. The raw Taihu Lake algae (TLA) and pretreated samples were pyrolyzed at 290 °C and 450 °C according to the TGA results. Extraction of lipids or saccharides from the TLA was performed as a pretreatment to obtain lipid extracted algae (LEA) or saccharide extracted algae (SEA). The total yields of bio-oil from fractional pyrolysis were 40.9 wt% from TLA, 42.3 wt% from LEA, and 48.5 wt% from SEA. From TLA, the major components of the bio-oil were fatty acids, amides and hydrocarbons (heptadecane) at 290 °C whereas those at 450 °C were phenols and C10–C15 hydrocarbons. Following the lipid extraction, acids, amides and indoles accounted for a large proportion at 290 °C, while the main products obtained at 450 °C were phenols, indoles and pyrroles. It is worth mentioning that the yield of bio-oil from the LEA had increased, and the composition of the bio-oil was simplified. Moreover, the average molecular weight of the bio-oil obtained from LEA had decreased. Interestingly, the extraction of saccharides inhibited pyrolysis of the lipids, so the distribution of the bio-oil from SEA changed only a little. Fractional pyrolysis of pretreated microalgae not only increased the bio-oil yield but also improved the quality of the bio-oil.