The recycling of clay waste from construction debris highly depends on the chemical and mineralogical composition of the waste. Clays and clay minerals are known to be among marginal construction waste, representing an interesting opportunity and platform to produce other low-cost and low-carbon materials due to their possibilities for functional material design, such as adsorbents, drug delivery, catalysts and photocatalysts, and nanocomposites. The present review analyzes a wide variety of mechanisms for encapsulating organic and inorganic species between the layers of clay minerals. Through the compilation of advances in acid activation, exchange of inorganic cations, intercalation, and pillarization, new applications for clay materials are generated, paving the way to a nanometric world with functional, magnetic, adsorption, and catalytic capabilities. New trends are consolidated in the reuse of recycled clays in infrastructure projects, such as hydraulic concrete, water purification, soil fertility, pigments and paints, food packaging and storage, and ceramic appliances. It is concluded that clay waste is suitable to reuse in many industrial products and construction materials, enabling a reduction in the consumption of raw materials.