Biodiesel is an emerging substitute for petroleum-based products. It is considered an ecologically safe and sustainable fuel. The high cost of biodiesel production is linearly related to its feedstock. Crude glycerol, which is a by-product of the biodiesel industry, is also a major challenge that must be addressed. A large volume of crude glycerol needs to be disposed of, and this involves processing, dumping, and land requirements. This increases the cost of biodiesel production. One way to decrease the cost of biodiesel production is to utilize its by-product to make valuable products. Crude glycerol can be processed to produce a variety of chemicals and products. The present utilization of crude glycerol is not enough to bring down its surplus availability. Thermochemical conversion processes can utilize crude glycerol as a starting feedstock and convert it into solid, liquid, and gaseous fuels. The utilization of crude glycerol through integrated thermochemical conversion processes could lead to an integrated biorefinery. This review paper highlights the research scope for areas where crude glycerol could be utilized as a feedstock or co-feedstock in thermochemical conversion technology. Various thermochemical conversion processes, namely, gasification, pyrolysis, combustion, catalytic steam reforming, liquefaction, and supercritical water reforming, are discussed and shown to be highly suitable for the use of crude glycerol as an economical feedstock. It is found that the integration of crude glycerol with other thermochemical conversion processes for energy production is a promising option to overcome the challenges related to biodiesel production costs. Hence, this paper provides all the necessary information on the present utilization status of crude glycerol in thermochemical conversion processes, as well as identifying possible research gaps that could be filled by future research studies.