As a promising candidate in the construction industry, iron-based shape memory alloy (Fe-SMA) has attracted lots of attention in the engineering and metallography communities because of its foreseeable benefits including corrosion resistance, shape recovery capability, excellent plastic deformability, and outstanding fatigue resistance. Pilot applications have proved the feasibility of Fe-SMA as a highly efficient functional material in the construction sector. This paper provides a review of recent developments in research and design practice related to Fe-SMA. The basic mechanical properties are presented and compared with conventional structural steel, and some necessary explanations are given on the metallographic transformation mechanism. Newly emerged applications, such as Fe-SMA-based prestressing/strengthening techniques and seismic-resistant components/devices, are discussed. It is believed that Fe-SMA offers a wide range of applications in the construction industry but there still remains problems to be addressed and areas to be further explored. Some research needs at material-level, component-level, and system-level are highlighted in this paper. With the systematic information provided, this paper not only benefits professionals and researchers who have been working in this area for a long time and wanting to gain an in-depth understanding of the state-of-the-art, but also helps enlighten a wider audience intending to get acquainted with this exciting topic.