The increasing demand for minerals and metals is strongly expanding the activity of the mining industry and the amount of waste that is being generated around the world, creating new challenges to the management of tailings storage facilities. To ensure a more sustainable development, circular economy is seen as an effective approach to reduce waste disposal and to cut the use of natural resources. However, sustainable solutions using nonconventional building materials require that proper behaviour assessment to achieve satisfactory performance. This paper discusses the use of tungsten tailings from a Portuguese mine as a building material for geotechnical works in transportation infrastructures. The physical and identification properties of the tailings considered are presented and discussed. To assess the mechanical behaviour of the tailings under the loading conditions imposed in the field as a building material in the construction of embankments, compacted samples were prepared in the optimum conditions determined from a compaction curve and tested under different conditions. The mechanical behaviour of compacted samples of these tailings, observed in oedometer and shear box tests, are presented and discussed. Overall, the results suggest that, provided that long-term behaviour and environmental impacts of these unconventional geomaterials are controlled, these materials can be considered for the construction of sustainable embankments for transportation infrastructures.