Tungsten-heavy alloys (WHA) are a pseudo-alloy in which tungsten is the primary phase and remains filled with additives such as Ni–Fe and Ni–Cu. These alloys are widely used to make their applications’ structural, electrical, and electronic components. According to this study, in addition to processing factors, the prime factors affecting the performance of WHAs are microstructural features such as tungsten and matrix composition, powders shapes and sizes, and distributions of tungsten particles in the matrix, as well as interface-bonding strength between the tungsten particle and matrix. This study summarises current developments in WHA processing, microstructure, and mechanical characteristics. For the manufacture of WHAs, various processing methods are discussed, including traditional powder metallurgy (PM), microwave sintering (MW), spark plasma sintering (SPS), and additive manufacturing (AM). SPS process depicts better results when compared with conventional sintering. This review will also hint at the effects of some additives in tungsten and their advantages.