Sulphur, a major by-product of the oil and gas industry, has emerged as a promising construction material in both sulphur concrete (SC) and sulphur-extended asphalt (SEA) applications. This review examines the development, properties, and uses of these sulphur-based construction materials over a century by following PRISMA guidelines for systematic literature selection. A bibliometric analysis highlights a surge in research activity over the last two decades. The key advantages of sulphur concrete include rapid strength gain (achieving ~50 MPa within 1–2 days) and exceptional chemical durability in extreme environments. Sulphur-bound materials exhibit high corrosion resistance, low water permeability, and full recyclability upon reheating. Challenges such as thermal shrinkage-induced brittleness and temperature sensitivity have been mitigated by using polymer-modified sulphur and mix design optimisation. Sulphur-extended asphalts benefit from increased stiffness, stability, and cost savings compared to conventional mixtures. Enhanced performance has been observed at sulphur replacement levels of 20–40% in asphalt binders. The review also summarises mixed formulations, mechanical properties, durability metrics, and innovative applications ranging from acid-resistant industrial structures to sustainable pavement materials and even extraterrestrial construction. The environmental benefits, such as up to 40% GHG reduction and complete recyclability of sulphur-based concretes, align with circular economy goals. Future research directions include improving ductility, advancing 3D printing techniques, and field validation of long-term performance. Overall, sulphur by-products can be transformed into valuable construction materials that address waste management and infrastructure durability.