Heat, ventilation, and air conditioning (HVAC) systems are some of the most energy-intensive equipment in buildings and their faulty or inefficient operation can significantly increase energy waste. Non-Intrusive Load Monitoring (NILM), which is a software-based tool, has been a popular research area over the last few decades. NILM can play an important role in providing future energy efficiency feedback and developing fault detection and diagnosis (FDD) tools in smart buildings. Therefore, the review of NILM-based methods for FDD and the energy efficiency (EE) assessment of HVACs can be beneficial for users as well as buildings and facilities operators. To the best of the authors’ knowledge, this paper is the first review paper on the application of NILM techniques in these areas and highlights their effectiveness and limitations. This review shows that even though NILM could be successfully implemented for FDD and the EE evaluation of HVACs, and enhance the performance of these techniques, there are many research opportunities to improve or develop NILM-based FDD methods to deal with real-world challenges. These challenges and future research works are also discussed in-depth.