The present invention relates to a method of producing a fatty acid alkyl ester using microorganisms having the ability to produce oil, and more particularly to a method of producing a fatty acid alkyl ester, the method comprising culturing microorganisms having the ability to produce oil, thus accumulating a large amount of oil in the microorganisms, inducing the autolysis of the produced oil in the microorganisms to produce a free fatty acid, and converting the free fatty acid into an alkyl ester. According to the method of the present invention, oil accumulated in microorganisms, such as triacylglycerol that is typical oil produced by microorganisms, can be converted into a fatty acid alkyl ester with high efficiency using a metabolic engineering approach. Thus, the method of the present invention is useful for the industrial production of a fatty acid alkyl ester which has been recently found to be effective as biodiesel.