Metallurgical slags are a mass-produced industrial solid waste, often destined to landfills; the volumes disposed represent an environmental burden. Over the last three decades, applications have been found for these wastes, mainly as a low-cost additive in building materials. More recently, their unique chemical properties have attracted attention to produce high-added-value materials for environmental applications, to be used as adsorbents, catalysts, or a source of reactive species in environmental engineering. Such uses can be classified as a function of the added value generated, technological complexity, and environmental impact. This review will focus specifically on the modification and use of slags for catalysis, photocatalysis, and photocatalytic production of hydrogen, which have received relatively little attention in literature. A summary will be presented about the general requirements for using unmodified slags as well as slag processed under alkaline or acidic conditions for advanced oxidation processes. Then, an overview will be given of the use of slags as photocatalysts in water treatment, organized according to the origin of the product (steel, copper, magnesium, ferromanganese), as well as emerging reports on the photocatalytic production of hydrogen, in contrast to the use of highly specific titania-based products developed for the same purpose.