Multi-source ferrous metallurgical dust and sludge are significant components of iron-containing solid waste in the iron and steel industry. It is crucial for the sustainable operation of steel enterprises to recycle iron from ferrous metallurgical dust and sludge (FMDS) for use in steel smelting. However, besides Fe, FMDS also contains valuable elements such as Zn, Pb, K, and Na, among others. While these valuable elements hold high recovery value, they impede the direct reuse of FMDS by iron and steel enterprises. This paper introduces the compositional characteristics of multi-source ferrous metallurgical dust and sludge, analyzes the main recycling technologies associated with FMDS at the present stage of development, and discusses the characteristics of different technologies. In view of this, a new idea of the “cooperative treatment of multi-source ferrous metallurgical dust and sludge—full quantitative recovery of valuable elements” is put forward. This new idea integrates a variety of treatment processes to directly recycle FMDS within the steel plant, enhancing the adequacy of dust and sludge recovery and reducing the risk of environmental pollution. This paper provides a reference for achieving the full quantification and utilization of high-value-added FMDS in steel plants.