Cementitious materials are widely used in the construction industry. These materials have high compressive strength and huge environmental effects but low tensile and flexural strength. Thus, researching these materials to make them environmentally friendly is very important in terms of the sustainable development of the construction industry. In recent years, the amount of research about cementitious composites reinforced with natural fibre has increased annually. This review paper was presented to understand the latest research progress on these fibres and the needs of future research to encourage the construction industry to apply these materials. The optimum dosage of natural fibre depending on the purposes can improve the physical, mechanical and thermal properties of cementitious composites, and natural fibre is highly expected to become an alternative material of synthetic fibres, such as steel, plastic and carbon fibre.