Titanium dioxide (TiO₂) has been extensively investigated in interdisciplinary research (such as catalysis, energy, environment, health, etc.) owing to its attractive physico-chemical properties, abundant nature, chemical/environmental stability, low-cost manufacturing, low toxicity, etc. Over time, TiO₂-incorporated building/construction materials have been utilized for mitigating potential problems related to the environment and human health issues. However, there are challenges with regards to photocatalytic efficiency improvements, lab to industrial scaling up, and commercial product production. Several innovative approaches/strategies have been evolved towards TiO₂ modification with the focus of improving its photocatalytic efficiency. Taking these aspects into consideration, research has focused on the utilization of many of these advanced TiO₂ materials towards the development of construction materials such as concrete, mortar, pavements, paints, etc. This topical review focuses explicitly on capturing and highlighting research advancements in the last five years (mainly) (2014–2019) on the utilization of various modified TiO₂ materials for the development of practical photocatalytic building materials (PBM). We briefly summarize the prospective applications of TiO₂-based building materials (cement, mortar, concretes, paints, coating, etc.) with relevance to the removal of outdoor/indoor NO_x and volatile organic compounds, self-cleaning of the surfaces, etc. As a concluding remark, we outline the challenges and make recommendations for the future outlook of further investigations and developments in this prosperous area.