Auxetic materials expand in the lateral direction when stretched axially and contract laterally when compressed axially, thereby resulting in a negative Poisson's ratio. This counter-intuitive behaviour results in such materials having a very wide range of potential benefits such as lateral confinement and improved bonding with cementitious matrices. This phenomenon has resulted in a proliferation of research in the use of auxetic materials in cementitious construction. However, numerous studies have focused on laboratory-scale auxetic cementitious composite samples for non-structural applications, while only very few recent studies have attempted to achieve auxetic behaviour for full-scale structural elements. Studies on auxetic cementitious materials have continued to be exploratory, with a variety of reported findings together with differing recommendations. This paper, therefore, reviews the state of the art on the application of auxetics in cementitious construction, the challenges and opportunities associated with the development and use of these innovative materials, and recommendations for future research to encourage uptake of these materials by engineers. It examines more than 100 primary research articles on the mechanical properties, design, optimisation, and specific applications of auxetics in cementitious composites. An important finding from the review is that the benefits derived from auxetic reinforcements require deformations which far exceed serviceability limits specified for structural elements in static loading. Therefore, the application of a chosen auxetic geometry will require bespoke design procedures to satisfy both strength and stiffness requirements, especially for cementitious composites. Furthermore, the finite element modelling approach of concrete damage plasticity is also noted as an essential tool for analysing the significant deformation behaviour of the structures. The review concludes that there is great potential for auxetic materials and structures through the careful selection of application-specific materials, and the enhancement of bonding between the cement matrix and the auxetic phase. Moreover, hybridising the geometries of the auxetic reinforcement can maintain a balance between the stiffness essential for load-bearing members and the advantages derived from auxeticity.