This paper presents a literature compendium about the main studies on the structural behavior, vulnerability, and risk of industrial silos, as one of the most important players of different industrial processes. This study focuses on the main scientific works developed in the last decades, highlighting the more notable issues on circular steel silos as the most widespread typology in practice, such as the content–container complicated interaction, the structural and seismic response, and the several uncertainties in the design and assessment processes. Specifically, this paper proposes a near-full state-of-the-art on (i) the behavior of silos under different kinds of loads, ordinary and extreme, (ii) the effects of imperfections and the interacting structures (e.g., ring beams, supporting structures), (iii) the stored material properties, the relevant uncertainties and the impact on the silo behavior, (iv) the possible failure modes given by the focused structural configuration and the stored materials, and (v) assessment and risk mitigation strategies. Throughout the text, some considerations are provided in order to summarize the more recent research trends about steel silos and to highlight the still open issues on the risk and vulnerability reduction of these kinds of structures.