Environmental pollution has become a relevant issue as the population rises and resources decrease. Reuse and recycling still have the greatest potential as they turn the waste into a new resource, representing the ‘closed-loop’ step of a circular economy (CE). Looking for new applications for agro-industry waste represents both an environmental issue, as its incorrect disposal is a cause of pollution, and a chance to exploit zero-cost natural wastes. The present review, with around 200 articles examined, focuses on possible reuses of these residues in (a) building construction, as additives to produce thermal and acoustic insulation panels, and (b) in water treatments, exploited for removal of pollutants. The selected materials (coconut, coffee, corn, cotton and rice) have industry production wastes with suitable applications in both sectors and huge worldwide availability; their reuse may thus represent a new resource, with an impact based on the production rate and the possible replacement of current inorganic materials. Along with possible implementation of the selected materials in the building industry and environmental engineering, a brief description of the production and supply chain are provided.