Sugar cane bagasse ash (SCBA) is an abundant byproduct of the sugar and ethanol industry. SCBA is generally used as a fertilizer or is disposed of in landfills, which has led to intensified environmental concerns. In recent years, SCBA research has mainly been focused on utilization in construction materials due to the abundance and pozzolanic characteristics of SCBA. In this paper, a comprehensive review of the state-of-the-art morphology, physical properties, chemical composition, and mineralogical composition of SCBA is presented. Studies indicate that SCBA is a potentially promising construction material. The applications of SCBA as a pozzolanic material, a new source for preparing alkali-activated binders, aggregates, and fillers in construction materials, are summarized. The impacts of SCBA on fresh and hardened concrete properties are highlighted, including the physical properties, mechanical strength, microstructure, and durability. Key factors that govern pozzolanic activity are discussed in detail, including calcination and recalcination temperatures, and durations, fineness, loss on ignition (LOI), and crystal silicon dioxide. Finally, further research on the optimal and broad utilization of SCBA in construction materials is recommended.