Mining activities generate vast quantities of waste each year, including mine tailings, bauxite residue, waste rock, and various metallurgical slags. Although these materials have traditionally been regarded as environmental liabilities, many possess physical and chemical properties that make them promising candidates for use in construction. This review synthesizes recent research on the utilization of major mining waste streams, with particular emphasis on pavement applications and other construction materials. The findings indicate that bauxite residue exhibits both pozzolanic and filler characteristics, demonstrating potential in asphalt mastics, asphalt mixtures, and other construction products. Nonetheless, its widespread adoption is constrained by issues such as high alkalinity, leaching risks, and concerns related to naturally occurring radioactivity. Mine tailings can substitute for fine aggregates and cement in a range of mixtures, though challenges including pronounced material variability and environmental risks persist. Waste rock offers favourable geotechnical properties for use in road bases and embankments, while metallurgical slags (e.g., copper, nickel, and lithium slags) provide functional pozzolanic activity and suitable aggregate qualities. Across all waste types, their incorporation into construction materials can conserve natural resources, reduce material costs, and support circular-economy and low-carbon development objectives. However, progress remains contingent upon advancements in material standards, pretreatment technologies, environmental protection measures, and large-scale field validation. Overall, this review underscores both the significant potential and the practical challenges associated with transforming mining waste into valuable and sustainable construction resources.