An integrated microbial oil production process consisting of acidified glycerol pretreatment of sugarcane bagasse, enzymatic hydrolysis, microbial oil production by Mortierella isabellina NRRL 1757 and oil recovery by hydrothermal liquefaction (HTL) of fungal biomass in fermentation broth was assessed in this study. Following pretreatment, the effect of residual pretreatment hydrolysate (containing glycerol) on enzymatic hydrolysis was firstly studied. The residual pretreatment hydrolysate (corresponding to 2.0–7.5% glycerol) improved glucan enzymatic digestibilities by 10–11% compared to the enzymatic hydrolysis in water (no buffer). Although residual pretreatment hydrolysate at 2.0–5.0% glycerol slightly inhibited the consumption of glucose in enzymatic hydrolysate by M. isabellina NRRL 1757, it did not affect microbial oil production due to the consumption of similar amounts of total carbon sources including glycerol. When the cultivation was scaled-up to a 1 L bioreactor, glucose was consumed more rapidly but glycerol assimilation was inhibited. Finally, HTL of fungal biomass in fermentation broth without any catalyst at 340 °C for 60 min efficiently recovered microbial oils from fungal biomass and achieved a bio-oil yield of 78.7% with fatty acids being the dominant oil components (∼89%). HTL also led to the hydrogenation of less saturated fatty acids (C18:2 and C18:3) to more saturated forms (C18:0 and C18:1).