Pigments are widely used in the food, cosmetic, textile, pharmaceutical, and materials industries. Demand for natural pigments has been increasing due to concerns regarding potential health problems and environmental pollution from synthetic pigments. Microbial production of natural pigments is a promising alternative to chemical synthesis or extraction from natural sources. Here, we discuss yeasts as promising chassis for producing natural pigments with their advantageous traits such as genetic amenability, safety, rapid growth, metabolic diversity, and tolerance. Metabolic engineering strategies and optimizing strategies in downstream process to enhance production of natural pigments are thoroughly reviewed. We discuss the challenges, including expanding the range of natural pigments and improving their feasibility of industrial scale-up, as well as the potential strategies for future development.