<p>Red mud is a high-alkalinity solid waste generated during alumina production, and its large-scale utilization remains a thorny problem worldwide. Based on its physical and chemical properties as well as environmental impact, this paper systematically reviews the latest application and research progress of red mud in construction materials such as cements, lightweight aggregates, ceramics, bricks, concretes, and geopolymers. The high alkalinity and compositional variability of red mud remain critical barriers to its direct use in construction, often causing efflorescence, poor durability, and environmental risks. To overcome these challenges, alkali activation and synergistic utilization with other solid wastes have emerged as promising breakthrough directions, enabling enhanced reactivity, long-term stability, and effective immobilization of alkalis and heavy metals. The properties and preparation process of various red mud-based construction materials were summarized, and the advantages and disadvantages of different preparation methods were also analyzed. Finally, beneficial suggestions for future research were put forward, and the key directions of future study on red mud application in construction materials were proposed. This review provides a detailed understanding of the application of red mud in the construction field and is expected to inspire researchers to participate in future studies.</p>