Calcium orthophosphates and clays and their composites are one of the most important groups in the field of new, modern, and technologically advanced materials that are accessible, inexpensive, and environmentally friendly. This review provides a summary of recent research on calcium orthophosphate–clay composites, their preparation, characterisation, and use in various applications. An introduction to the subject is followed by a detailed description of the chemical and physical properties of calcium orthophosphates, clays, and clay minerals. This is followed by a general summary of preparation methods for calcium orthophosphate–clay composites. Particular attention is paid to the description of individual applications, i.e., environmental applications, biomaterials science (tissue engineering, pharmacology), and other emerging applications. Finally, future perspectives are summarised and discussed.