Reducing the use of non-renewable resources is a key strategy of a circular economy. Mycelium-based foams and sandwich composites are an emerging category of biocomposites relying on the valorization of lignocellulosic wastes and the natural growth of the living fungal organism. While growing, the fungus cements the substrate, which is partially replaced by the tenacious biomass of the fungus itself. The final product can be shaped to produce insulating panels, packaging materials, bricks or new-design objects. Only a few pioneer companies in the world retain a significant know-how, as well as the ability to provide the material characterization. Moreover, several technical details are not revealed due to industrial secrecy. According to the available literature, mycelium-based biocomposites show low density and good insulation properties, both related to acoustic and thermal aspects. Mechanical properties are apparently inferior in comparison to expanded polystyrene (EPS), which is the major synthetic competitor. Nevertheless, mycelium-based composites can display an enormous variability on the basis of: fungal species and strain; substrate composition and structure; and incubation conditions. The aim of the present review is to summarize technical aspects and properties of mycelium-based biocomposites focusing on both actual applications and future perspectives.