Coffee is an extremely popular beverage worldwide. To obtain it, the berry must be depulped, fermented, washed, dried, and roasted, producing residues: pulp and husk, mucilage, and parchment. Recently there has been an interest in generating high-value products. In this article, advances in the valorization process are critically reviewed, including an overview of the composition of residues derived from primary processing, uses in food, biocomposite, and biofuel production (thermochemical conversion). With an increasing production of coffee projected in the coming years, there is an urgent need to balance it with the appropriate use and industrial application of coffee wastes and by-products, which are renewable resources rich in carbohydrates, proteins, pectin, and bioactive compounds (polyphenols). The applications described above, together with those that will undoubtedly be developed in the future, represent promising opportunities to take advantage of agro-industrial residues derived from primary processing of Coffea spp. and develop more efficient and sustainable systems through biorefinery approaches and the circular economy.