Concrete is a composite material that is widely used in the construction industry due to its excellent mechanical and physical properties. Despite these benefits, concrete possesses several disadvantages including negative environmental impacts and mechanical durability (e.g., shrinkage, frost attack, and corrosion). To date, upgrading of concrete’s properties to overcome such drawbacks has been one of the most challenging, but attractive, research topics for many researchers in this research field. As one of the effective means to meet such demand, the use of natural zeolites in the production of concrete has been made preferably to acquire the excellent performance along with improvement in terms of structure, durability, and mechanical properties. This review was designed to provide a comprehensive insight into the construction-related applications of natural zeolite. To this end, we discussed the structural and fundamental properties of natural zeolites and their applications to concrete production as natural pozzolans, internal curing agents, and lightweight aggregates. Also, through critical analysis of various researches made previously, we aim to offer a better understanding on the effect of zeolites’ addition upon the performance of concrete in terms of workability, strength, durability, and permeability. Additionally, we describe the present challenges and future perspectives in the use of natural zeolites for concrete production.