Coal gangue (CG), a substantial by-product of coal mining, has recently emerged as a promising sustainable material for concrete production. This review synthesizes 44 experimental and life-cycle studies published between 2012 and 2024 to elucidate the mechanical, microstructural, durability, and environmental performance of coal gangue concrete (CGC). At aggregate replacement levels below 30%, compressive strengths of approximately 40 MPa are generally maintained, whereas higher substitution ratios tend to diminish performance due to increased porosity and weaker interfacial transition zones (ITZs). When employed as a supplementary cementitious material (SCM), calcined gangue enhances long-term strength and ITZ bonding through pozzolanic activity. Durability outcomes are varied: resistance to freeze–thaw cycles, sulfate, and chloride attack remains acceptable at moderate replacement levels but declines under carbonation exposure. Life-cycle assessments (LCAs) indicate potential CO₂ emission reductions of 20–35%, contingent on calcination energy demand and replacement ratios. However, widespread adoption is hindered by non-standardized testing protocols, limited field validation outside China, and insufficient integration of microstructural and durability data. To address these challenges, this review proposes a four-layer evaluation framework (mechanical, microstructural, durability, and environmental), benchmark mix classifications for CGC, and a roadmap promoting field-scale validation and AI-driven optimization. Codifying the use of coal gangue within design standards and green certification systems could transform it from a mining liability into a recognized sustainable construction resource.