Filamentous fungi are a large and diverse taxonomically group of microorganisms found in all habitats worldwide. They grow as a network of cells called hyphae. Since filamentous fungi live in very diverse habitats, they produce different enzymes to degrade material for their living, for example hydrolytic enzymes to degrade various kinds of biomasses. Moreover, they produce defense proteins (antimicrobial peptides) and proteins for attaching surfaces (hydrophobins). Many of them are easy to cultivate in different known setups (submerged fermentation and solid-state fermentation) and their secretion of proteins and enzymes are often much larger than what is seen from yeast and bacteria. Therefore, filamentous fungi are in many industries the preferred production hosts of different proteins and enzymes. Edible fungi have traditionally been used as food, such as mushrooms or in fermented foods. New trends are to use edible fungi to produce myco-protein enriched foods. This review gives an overview of the different kinds of proteins, enzymes, and peptides produced by the most well-known fungi used as cell factories for different purposes and applications. Moreover, we describe some of the challenges that are important to consider when filamentous fungi are optimized as efficient cell factories.