Mycelium materials are an emerging and promising class of biomaterials currently used primarily for biodegradable packaging and insulation. Their mechanical properties limit them to non-structural applications akin to polystyrene; however, post-processing techniques such as heat pressing may widen their possible applications, with some studies achieving metrics comparable to commercial particleboards. This integrative review analyzes studies focused on heat pressing mycelium composites, comparing the available quantitative data on mechanical properties. Among conventionally processed samples, mean tensile strength reached 6.3 MPa and elastic modulus 2138 MPa, with considerable variability across studies. Recent advances have achieved exceptional results: ultra-high-pressure processing (100 MPa) yielded tensile strengths of 12.5 MPa, approaching values for engineering plastics, while semi-wet hot-pressing achieved flexural strengths of 37.6 MPa. Correlation analysis revealed that pressure exerted a stronger influence on mechanical properties than temperature, with moderate to strong positive correlations across all measured outcomes. Optimal material properties appear achievable through temperatures of 130–170 °C combined with elevated pressures and controlled moisture content (~30%), which facilitates lignin plasticization and enhanced bonding. However, substantial heterogeneity in experimental methods and inconsistent property reporting across studies complicate direct comparisons. This review highlights the urgent need for standardized manufacturing and testing protocols in mycelium composite research and demonstrates the potential of heat pressing to produce sustainable, biodegradable alternatives to conventional particleboards.