This study is framed within the circular economy model through the valorisation of industrial by-products. This research shows the results of producing self-compacting mortars (SCMs) with electric arc furnace dust (EAFD) and other industrial by-products such as fly ash, conforming (FA) or not conforming (NcFA), from coal-fired power plants, or recovery filler (RF) from hot-mix asphalt plants. Three batches of SCMs, each with one industrial-by product (FA, NcFA, or RF), and three levels of EAFD ratio incorporation (0%, 10%, 20%), were tested. An extra batch with a greater amount of FA was manufactured. When the incorporation ratio of EAFD rose, the mechanical strength decreased, due to the presence of a calcium zinc hydroxide dihydrate phase; nevertheless, this decrease diminished over time. All SCM mixes, except the 40C 40FA 20 EAFD mix, were above 20 MPa at 28 days. All mixes named 70C and 40C reached 40 and 30 MPa, respectively, at 90 days. Mixes with EAFD showed less capillarity and no difference in water absorption by immersion with respect to mixes without EAFD after 91 days. The SCMs designed proved to be stable in terms of leaching of the heavy metals contained in EAFD, where all the hardened SCMs were classified as inert.