Sustainable food systems that employ renewable resources without competition with the food chain are drivers for the bioeconomy era. This study reports the valorization of microwave-pretreated spent coffee grounds (SCGs) to produce oleogels rich in bioactive compounds. Microbial oil rich in carotenoids (MOC) was produced under batch fermentation of Rhodosporidium toruloides using SCG enzymatic hydrolysates. Candelilla wax (CLW) could structure MOC and sunflower oil at a 3.3-fold lower concentration than that of carnauba wax (CBW). MOC-based oleogels with 10% CBW and 3% CLW showed an elastic-dominant and gel-like structure (tan δ ≪ 1), providing gelation and oil binding capacity (>95%). Dendritic structures of CBW-based oleogels and evenly distributed rod-like crystals of CLW-based ones were observed via polarized light microscopy. MOC-based oleogels exhibited similar Fourier-transform infrared spectroscopy spectra. X-ray diffractograms of oleogels were distinguished by the oil type that presented β′-type polymorphism. MOC-based oleogels could be applied in confectionary products and spreads as substitutes for trans fatty acids, reformulating fat-containing food products.