The agri-food industry generates substantial amounts of waste, including by-products and residues. The increasing demand for sustainable and eco-friendly practices in the agri-food sector has sparked an interest in finding alternative uses for such waste materials. One promising approach is the utilization of waste from the agri-food industry as feed for the rearing of mealworms (Tenebrio molitor). Since agri-food waste is rich in proteins, carbohydrates, lipids, and vitamins, as well as other bioactive compounds, all of which are essential for insect growth and development, incorporating such waste into the diet of mealworms promotes sustainable insect production, reducing the economic and environmental problems associated with waste disposal. This practice can also be beneficial for the rearing of mealworms since their nutritional value can also be enhanced. To this end, various waste materials, such as fruit and vegetable peels, spent grains, and food processing residues, have been investigated as potential feed sources, leading to increased mass production, lower cost, and enhanced nutritional value. This review aims to highlight the potential of agri-food waste as a feed source for mealworms, as well as their potential to enhance their nutritional value. Furthermore, the potential applications of mealworms reared on agri-food waste are highlighted, including their potential as a sustainable protein source for human consumption and as feed ingredients in the livestock and aquaculture sectors.