Lignocellulosic biomass is a powerful approach to produce sustainable biofuels and the further achievement of the goal of biomass conversion into a second-generation clean energy that can cope with the depletion of fossil reserves and rising energy requirements. In the conversion process, a pretreatment is essential to overcome the recalcitrance of the lignocellulosic biomass; accelerate its disintegration into cellulose, hemicellulose, and lignin; and, in turn, obtain an optimal yield of fermentable sugars in the enzymatic hydrolysis. In addition to this, it should be industrially scalable and capable of enhancing fuel properties and feedstock processability. Here, steam explosion technology has stood out due to its results and advantages, such as wide applicability, high efficiency in the short term, or lack of contamination despite its conventionality. This gentle and fast pretreatment incorporates high temperature autohydrolysis and structural alteration by explosive decompression. The steam explosion method has been one of the most effectual, especially for the hydrolysis of cellulose from agricultural wastes due to the lower quantity of acetyl groups in the composition of hemicellulose. In this aspect, sugarcane bagasse is a promising feedstock for bioethanol production due to its high cellulosic content and elevated availability. The objective of this review has been to compile the latest information on steam explosion pretreatment, stages, equipment, variables involved, by-products generated, as well as the advantages and disadvantages of the technique. At the same time, its feasibility and viability using sugarcane bagasse as feedstock has been discussed. Finally, the effectiveness of the technique with different feedstocks has been evaluated.