β-glucans are a large class of complex polysaccharides with bioactive properties, including immune modulation. Natural sources of these compounds include yeast, oats, barley, mushrooms, and algae. Yeast is abundant in various processes, including fermentation, and they are often discarded as waste products. The production of biomolecules from waste resources is a growing trend worldwide with novel waste resources being constantly identified. Yeast-derived β-glucans may assist the host’s defence against infections by influencing neutrophil and macrophage inflammatory and antibacterial activities. β-glucans were long regarded as an essential anti-cancer therapy and were licensed in Japan as immune-adjuvant therapy for cancer in 1980 and new mechanisms of action of these molecules are constantly emerging. This paper outlines yeast β-glucans’ immune-modulatory and anti-cancer effects, production and extraction, and their availability in waste streams.