Many studies have affirmed that the construction industry is vulnerable to uncontrollable risks due to its unique characteristics. In practice, insurance has been widely used to mitigate some of these risks in the industry. While several publications have concentrated on addressing specific issues relating to the use of construction insurance, there needs to be a systematic review of the extant literature on this research area. It is worth attempting to capture the interest of scholars and practitioners, identify research focuses and methodologies, and provide directions for future studies. This paper employs a systematic literature review method to identify and contribute to the knowledge gap of academic researchers in construction insurance. The search found 200 articles, but only 33 articles were analyzed. Despite the extensive use of construction insurance, the results showed that research in this area still needs improvement compared to construction project risk. The research areas of these studies can be grouped into six clusters: financial perspective, legal dimension, occupational health and safety, natural disasters, environmental issues, and multifaceted issues. The most common studies have been conducted on the “financial perspective” and “legal dimension.” As for the research methodology, quantitative methods were widely used, including descriptive and inferential statistical methods, Monte Carlo simulation, and decision tree analysis in a study context, notably in developed countries. The limitations of existing research provide opportunities for further studies that can be dedicated to exploring the understudied areas associated with construction research in developing countries, risk quantification and valuation, integrated insurance, and proposed construction risk framework.