Innovation in construction plays a fundamental role in helping us face current challenges, namely the reduction in energy consumption, the mitigation of the effects of climate change, the depletion of resources, and the generation of waste. Regarding the built environment, improving the thermal properties of the building envelope is one of the growing needs to reduce energy consumption in the building sector. In this context, thermal mortars have been a trend in the construction industry in recent years due to their ability in reducing heat transfer through the building envelope. On the other hand, the addition of waste has been studied as an alternative to improve the thermal properties of mortars and reduce the consumption of primary materials in the construction sector. This work aims to carry out a detailed review regarding the incorporation of waste in thermal mortars through the application of scientometric data analysis and a systematic literature review. To this end, the different residues incorporated into thermal mortars and the various percentages and forms of incorporation were identified throughout the publications gathered in this review. The most studied properties regarding the thermal mortars with the addition of waste were also the subject of study. A comprehensive database of thermal mortars with the incorporation of waste is presented, in which the objectives of the studies, the wastes and forms of incorporation and the measured properties are highlighted. The main results of the analysed researches are deeply discussed and the gaps in this area of the knowledge are identified to point out new directions and possible perspectives for future studies in the field of thermal mortars incorporating waste.