This paper reviewed the characterization of the heavy metals in industrial waste and building materials containing industrial waste, such as cement-based material, geopolymer and gypsum. Heavy metal analysis includes heavy metal content analysis and existing form analysis. Furthermore, it can be divided into solid-phase analysis and liquid-phase analysis, such as XRF and sequential dissolution, respectively. According to the crystallinity of the phase, it can be divided into crystalline and amorphous phase. Different analysis methods, such as XRD and XAFS, are used for the two different phases. In addition, the chemical environment of heavy metals can be studied directly and indirectly at the atomic and molecular level to analyze their existing forms, such as MAS-NMR and FT-IR, respectively. Through different analysis methods, we can have a deeper understanding of the existing and solidified forms of heavy metals in solid waste and building materials, and thus gives the researchers a better way to deal with solid waste.