Isochrysis galbana Parke, Emiliania huxleyi (Lohm.) Hay and Mohler, and some related prymnesiophyte algae produce as neutral lipids a set of polyunsaturated long-chain (C37–39) alkenones, alkenoates, and alkenes (PULCA). These biomarkers are widely used for paleothermometry, but the biosynthesis and cellular location of these unique lipids remain largely unknown. By staining with the fluorescent lipophilic dye Nile Red, we found that I. galbana and E. huxleyi, like many other algae, package their neutral lipid into cytoplasmic vesicles or lipid bodies. We found that these lipid bodies increase in abundance under nutrient limitation and disappear under prolonged darkness and show that this pattern correlates well with the concentration of PULCA as measured by TLC. In addition, we show that lipid vesicles purified by sucrose density gradient centrifugation consist predominantly of PULCA. We also found significant pools of neutral lipid associated with chloroplasts, and PULCA component profiles in lipid vesicles and chloroplasts are similar. Examination of cell ultrastructure shows conspicuous cytoplasmic and chloroplast lipid bodies, and we suggest that PULCA may be synthesized in chloroplasts and then exported to cytoplasmic lipid bodies for storage and eventual metabolism. Our results connect and extend prior observations of lipid bodies and membrane-unbound PULCA in I. galbana and E. huxleyi, as well as the behavior of PULCA during nutrient and light stress.