Natural sugar substitutes are safe, stable, and nearly calorie-free. Thus, they are gradually replacing the traditional high-calorie and artificial sweeteners in the food industry. Currently, the majority of natural sugar substitutes are extracted from plants, which often requires high levels of energy and causes environmental pollution. Recently, biosynthesis via engineered microbial cell factories has emerged as a green alternative for producing natural sugar substitutes. In this review, recent advances in the biosynthesis of natural sugar substitutes in yeasts are summarized. The metabolic engineering approaches reported for the biosynthesis of oligosaccharides, sugar alcohols, glycosides, and rare monosaccharides in various yeast strains are described. Meanwhile, some unresolved challenges in the bioproduction of natural sugar substitutes in yeast are discussed to offer guidance for future engineering.