The construction industry, a significant consumer of natural resources and a major contributor to global carbon emissions, is under increasing pressure to adopt sustainable practices. Concurrently, agro-industrial sectors generate vast quantities of waste, such as Sugarcane Bagasse Ash (SCBA), Rice Husk Ash (RHA), and Waste Paper Sludge Ash (WPSA), whose disposal poses environmental challenges. This paper presents a holistic review of the Valorization of these agro-industrial wastes in construction materials, proposing a complete supply-chain approach from material characterization to field application. The review systematically synthesizes existing research on the use of SCBA, RHA, and WPSA as partial replacements for cement in concrete (including Structural and Self-Compacting Concrete) and their potential in asphalt mixtures. It critically analyzes the chemical, physical, and pozzolanic properties of these wastes and their impact on the fresh, mechanical, and durability properties of the resulting composites. Furthermore, this review pioneers the integration of advanced Artificial Intelligence (AI) and Machine Learning (ML) techniques such as Artificial Neural Networks (ANNs), Logistic Regression, and Geographic Information Systems (GIS)to optimize mix designs, predict long-term performance, and map regional waste availability for efficient supply chain management. The synthesis of evidence confirms that partial replacement (typically 10-20%) of cement with processed agro-industrial ashes can enhance mechanical strength and durability, while reducing the carbon footprint. The paper concludes by advocating for a large-scale, multi-disciplinary research program that bridges material science, civil engineering, and data analytics to transition these sustainable materials from laboratory curiosity to mainstream, field-validated construction solutions.