The article discusses the modern achievements in the field of thermal recovery of industrial and municipal waste. The average accumulation rate and calorific value of typical wastes were analyzed. The focus is on the opportunities to exploit the energy potential of high-moisture waste, low-grade liquid components, and fuel slurries. We consider the relevant results in the field of combustion, pyrolysis, and gasification of such fuels. The main attention is paid to synergistic effects, the influence of additives, and external conditions on the process performance. Vortex combustion chambers, boilers with burners, and nozzles for fuel injection, grate, and fluidized bed boilers can be used for the combustion of waste-derived liquid, high-moisture, and slurry fuels. The following difficulties are possible: long ignition delay, incomplete combustion, low combustion temperature and specific calorific value, high emissions (including particulate matter, polycyclic aromatic hydrocarbons), fast slagging, and difficult spraying. A successful solution to these problems is possible due to the use of auxiliary fuel; boiler modifications; oxy-fuel combustion; and the preparation of multi-component fuels, including the use of additives. An analysis of methods of waste recovery in the composition of slurries for fuel gas production showed that there are several main areas of research: pyrolysis and gasification of coal–water slurry with additives of oil waste; study of the influence of external conditions on the characteristics of final products; and the use of specialized additives and catalysts to improve the efficiency of the pyrolysis and gasification. The prospects for improving the characteristics of thermochemical conversion of such fuels are highlighted.