Red mud (RM) is an industrial waste produced in large amounts during alumina extraction from bauxite. Its disposal generates serious environmental pollution due to high alkalinity. Therefore, a strategy for the effective utilization of RM must be developed. For instance, RM may be transformed into useful products, such as adsorbents. Given its high concentrations of aluminum oxides, iron oxides, titanium oxides, silica oxides, and hydroxides, RM may be developed as a cheap adsorbent for the removal of various ions from aqueous solution and soils (e.g., metal and non-metal ions, phenolic compounds, and dyes) and waste gas purification (sulfide and carbide). This review summarizes the background, properties, and applications of RM as an adsorbent. Proper approaches of removing metal and non-metal elements from wastewater are also systematically reviewed and compared. Emphasis is placed on the surface modification of RM to obtain high adsorption. Finally, the scope for future research in this area for RM is discussed in depth.