Moving from the linear production model to the circular economy approach is the main concern of the EU Circular Economy Action Plan. Population growth coupled with high demand for goods has led to a significant increase in solid waste, especially food waste, triggering the depletion of natural resources and the environmental burdens associated to their disposal. However, their physical, chemical and biological characteristics make them by-products with a high potential to be valorized and therefore used as resources for other industrial production models. This is the case of spent coffee grounds (SCGs), which are produced in large quantities on a daily basis. Therefore, valorization models under the approach of the biorefinery concept can be envisaged with the aims of recovering potential bioactive compounds and renewable energy. This has been the approach developed in this critical review, in which SCG recovery alternatives have been studied to obtain lignin, lipids, biofuels and phenolic compounds. In addition, a critical analysis of the outcomes of techno-economic and environmental evaluations available in the literature is included, in order to identify those indicators that provide information on the feasibility of their valorization.