Non-sintered lightweight aggregate (NSLA), also known as cold-bonded lightweight aggregate (CBLA), is a type of lightweight aggregate that does not require sintering and utilizes a large amount of industrial waste, while providing economic, environmental, and social benefits. Current NSLA preparation technologies and product qualities employing a variety of industrial wastes were summarized, as well as curing methods and applications in concrete and other industries. The strategies to reduce density and shell strengthening technologies were highlighted, such as air-introduce, using light raw materials, and employing core-shell construction, with a focus on the challenges of high density, high water absorption, and low specific strength. Furthermore, it is suggseted that the core-shell structure is the development direction for lightweight, high specific strength, and functionalization of NSLA, as well as the pressing issues that must be addressed to achieve lightweight, high-strength, and functionalization of NSLA.