Over the last few decades, the European steel industry has focused its efforts on the improvement of by-product recovery and quality, based not only on existing technologies, but also on the development of innovative sustainable solutions. These activities have led the steel industry to save natural resources and to reduce its environmental impact, resulting in being closer to its “zero-waste” goal. In addition, the concept of Circular Economy has been recently strongly emphasised at a European level. The opportunity is perceived of improving the environmental sustainability of the steel production by saving primary raw materials and costs related to by-products and waste landfilling. The aim of this review paper was to analyse the most recent results on the reuse and recycling of by-products of the steelmaking cycles as well as on the exploitation of by-products from other activities outside the steel production cycle, such as alternative carbon sources (e.g., biomasses and plastics). The most relevant results are identified and a global vision of the state-of-the-art is extracted, in order to provide a comprehensive overview of the main outcomes achieved by the European steel industry and of the ongoing or potential synergies with other industrial sectors.