The present invention refers to a process to produce biodiesel and/or fuel oil from microbial oilseed and/or algal biomass and/or from sugar cane residues and derivatives. The products according to the present invention are appropriate for direct use in motors and to generate energy or steam. The integrated process of the present invention comprises the use, as raw materials, of microbial oil-producing biomass obtained from sugar cane residues and derivatives, which is integrated with algal biomass and/or glycerol and are processed by steps of production of oil-producing microbial biomass from filamentous fungi and/or yeasts, steps of simultaneous production of algal biomass by fully using residues, CO2 and residual broth of said production of microbial biomass, as well as steps of extraction and transesterification of lipids contained in the biomass, with reuse of the residual glycerol thus produced. The process as disclosed deals with innovative and ecologically sustainable technology, not generating any kind of residue, also providing for the advantage of releasing considerable volumes of oxygen into the atmosphere.