This paper presents an overview of current state-of-the-art agri-food waste valorization for developing advanced materials via the nanoscale assembly of biopolymeric building blocks. Emphasizing the imperative shift from a linear to a circular economy, the environmental impacts of agri-food waste, including its substantial contribution to global carbon dioxide (CO2) emissions and resource depletion, are underscored. This study explores the potential of harnessing proteins and polysaccharides extracted from agri-food waste to synthesize advanced materials, such as films, hydrogels, and aerogels. The two categories of fibrillar nanobuilding blocks, including exfoliated fibrils from structural biopolymers like cellulose, chitin, silk, and collagen, as well as self-assembled protein nanofibrils from different proteins valorized from food industries’ waste, are showcased. These biopolymeric nanofibrils can be further assembled to develop hierarchical advanced materials, with many applications in energy, environmental fields, and beyond. However, in this context, there are critical considerations, including the sustainability of the valorization methods, challenges associated with the heterogeneity of food waste, and the imperative need for a life cycle assessment to ensure complete sustainability. The delicate balance between integrating waste into the food chain and exploring alternative scenarios is discussed, along with challenges related to the short lifespan of agri-food waste, its heterogeneity, and the economic viability of valorization processes. Finally, the ongoing pursuit of developing high-performance, sustainable materials and the importance of societal cultivation to foster a circular economy mindset are discussed.