The search for energy security and environmental sustainability has fueled a growing interest in biofuel production worldwide. Although first-generation bioethanol is regarded a clean, renewable, and green alternative to fossil fuels, its production process leads to the generation of a huge amount of waste with high polluting potential. This review article presents a thorough analysis of the production chain of sugarcane-based first-generation bioethanol and the chemical characterization of the wastes produced in this process. The sugarcane wastes analyzed in this work include three lignocellulosic materials, namely, sugarcane straw, bagasse, and filter press mud; bagasse ash, a material rich in silica particles and other oxides; and vinasse, a material containing high concentrations of organic matter and diverse nutrients. Considering the negative impacts of the disposal and/or containment of wastes generated during the production of sugarcane bioethanol, the review will shed light on the current value-added uses of these wastes and their potential for the development of highly innovative products. The current value-added uses of these wastes include tapping the energy present in straw and bagasse, by burning them in furnaces of bioethanol refineries, and the application of bagasse ash, filter press mud, and vinasse in agriculture as fertilizers and soil additives. With regard to the innovative application of bioethanol wastes, bagasse can be used for the production of second-generation ethanol, while bagasse ash can be employed as supplementary input for the production of construction materials.