Abstract: MXene, as a rapidly emerging class of two-dimensional (2D) functional materials, has attracted tremendous attention owing to its outstanding electrical, thermal, and mechanical properties. It shows great potential in applications such as energy storage devices, electromagnetic interference (EMI) shielding, thermal management, and sensors. However, the large-scale production of MXene is inevitably accompanied by the generation of substantial by-products—MXene sediments (MS). Traditionally, MS has been treated as waste, leading not only to severe loss of valuable metallic resources but also to potential environmental risks due to residual etching agents. Recent studies, however, have revealed that MS is not a single useless by-product, but a complex mixture composed of unetched MAX phase, partially exfoliated m-MXene, and a small fraction of f-MXene and s-MXene. With layered structures and intrinsic conductivity, MS exhibits promising potential for secondary utilization. Through various strategies, researchers have successfully incorporated MS into composite materials, achieving significant progress in areas such as energy storage, EMI shielding, thermal management, and flexible sensing. These advances mark a transformation of MS from “waste” to “functional material.” This review systematically summarizes the formation mechanisms, structural and property features of MS, as well as the preparation methods and application progress of MS-based composites, and further discusses future research perspectives. This work not only contributes to the sustainable development of the MXene industry but also provides new insights for designing low-cost and multifunctional composite materials.