Steel slag is a by-product obtained through the separation of molten steel from impurities in steel-making furnaces. It can be produced by different types of furnaces (blast, basic oxygen, electric arc, ladle furnaces). The reuse of metallurgical slags in road pavements can pursue aims of recycling and environmental sustainability. Based on the extensive literature, the paper presents a state-of-the-art review concerning the use of slags in asphalt pavements, discussing the main controversial literature findings. Slag manufacturing processes, chemical, morphological, and physical characteristics, affect its contribution to the asphalt mixture, when it partially or fully substitutes natural aggregates. Legislative state-of-the-art environmental issues, weathering, and leaching aspects are also discussed. The main mechanical and durability properties of pavements containing different types of slags are analyzed based on laboratory and field studies. Generally, the higher mechanical properties of steel slag suggest that its inclusion in asphalt mixtures can provide high-performance pavement layers (excellent strength and stiffness, superior rutting and fatigue resistance, low moisture susceptibility). However, several research gaps still exist (e.g., mix design and seasoning procedure, bitumen–aggregate affinity, low-temperature behavior, brittleness); they are discussed to direct possible future study efforts to clarify specific technical aspects, such as, for example, the effect of slag morphology and physical properties on the final mix properties and the development of specific mix design guidelines.