This work aimed to support the development of a new process for the production of lipids and carotenoids by oleaginous yeasts using both cellulosic and hemicellulosic fractions of biomass as feedstock for fermentation. The hypothesis behind this idea is that this strategy could lead to a sustainable pathway to produce these valuable components with potential to reduce the production costs. For the experiments, six oleaginous yeasts were initially cultivated in synthetic media containing glucose or xylose as carbon sources and different carbon to nitrogen ratios in order to identify the top producers. Rhodosporidium toruloides NRRL Y-1091 and Lipomyces starkeyi NRRL Y-1389 produced the highest amount of carotenoids and lipids, respectively. Then, the performance of these two strains when cultivated in wheat straw cellulosic and hemicellulosic hydrolysates was assessed. Detoxification of the cellulosic and hemicellulosic hydrolysates with activated charcoal removed 87.80% and 77.17% of inhibitors, respectively, and significantly improved the performance of the two yeasts. The highest concentration of lipids, 3.99 ± 0.35 g/L, was obtained by cultivating L. starkeyi in washed cellulosic hydrolysate; while the highest production of carotenoids, 24.58 ± 1.88 mg/L, was obtained by cultivating R. toruloides in decolorized cellulosic hydrolysate. Increasing the tolerance of oleaginous yeasts to inhibitors resulting from biomass pretreatment and/or using cost-effective detoxification methods were identified as key parameters for further development of this process at commercial scale.