The mycelial pellet is a microbial aggregator formed under certain conditions. Besides the ability to secrete metabolites and adsorb a large amount of pollutants, the mycelial pellet has the characteristics of high biological activity, fast sedimentation speed, and easy solid-liquid separation. The technology of the mycelial pellet has been considered to be a promising technology for biomass utilization. To date, the mycelial pellet has been extensively studied for the production of various valuable products. Applications of mycelial pellets for microalgal biomass harvesting and wastewater treatment have also received more attention in recent years. Nevertheless, there are still some difficulties in the practical application of mycelial pellet technology. This review focuses on the characteristics, formation mechanism, formation conditions, and application research of mycelial pellets. This study provides much knowledge and information on the application technology of mycelial pellets in water pollution control, microalgae biomass harvesting, and industrial fermentation production. Problems existing in the scientific research and the main development trends of mycelial pellets are presented.