Cordyceps, especially Cordyceps sinensis and Cordyceps militaris, is a very interesting fungus that belongs to the entomopathogenic fungi group and has been gaining limelight in the past few years because of its varied bioactive compounds and medicinal properties. Cordyceps has been traditionally used in Asian medicinal practices for many years and is currently in demand worldwide for its nutritional and pharmaceutical uses. This review aims to comprehensively discuss the taxonomy, biological, bioactive compounds, pharmacological properties, cultivation, and medicinal importance of Cordyceps species. It will give special focus on cordycepin, polysaccharides, and other metabolites that are mainly responsible for the immunomodulatory, anti-inflammatory, antioxidant, and anti-tumor effects of these species. However, despite the medicinal properties, there are many issues associated with its sustainability, standardization, and validation, and this review will highlight the future research aspects of Cordyceps that are required to fully tap its medicinal and commercial potential.