Red mud, owing to its high alkalinity and presence of hazardous elements, cannot be disposed of in landfills. Sustainable use of red mud is the way to resolve the environmental concerns created by its improper disposal. This study attempts to review the overall applications of red mud as a construction material. Red mud is used in making various construction materials like mortar, bricks, concrete, ceramics, etc. The utilization of red mud in brick manufacturing is said to increase the mechanical characteristics and longevity of bricks. Red mud is also employed in various types of concrete like Lightweight concrete, Ultra high-performance concrete, pervious concrete, and geopolymer concrete. Red mud is employed as a supplementary cementitious material to replace cement because of its chemical composition. Red mud is best suited for enhancing the properties of geopolymer concrete because of its high alkalinity. Existing literature indicates that red mud can be utilized in the construction of bounded base course of pavements with acceptable unconfined compressive strength (UCS), resistance to freezing, thawing, and durability. The presence of red mud in asphaltic concrete was found to increase the stiffness parameters of the asphalt mixtures. In terms of bituminous mixes substituting limestone powder filler with red mud improved mechanical properties, bulk density, and resistance to rutting. Nevertheless, the inclusion of red mud reduced the moisture vulnerability and raveling resistance of bituminous mixtures.