Baker's yeast production industry generates large quantities of high chemical oxygen demand (COD) wastewater. The integration of baker's yeast wastewater (BYW) for an innovative two-step waste biorefinery process by producing protein-rich fungal biomass and biogas along with COD and nutrients removal was the main object of the present research. In the first step, fungal biomass production from BYW was investigated using four species of filamentous fungi. The maximum biomass yield of 5.13 g/L BYW containing 43.8% mycoprotein and 36.3% COD removal was achieved by A. oryzae. In the second step, to produce biogas and further remove organic matter, the effluent of fungal fermentation was subjected to anaerobic digestion and COD removal between 22.4 and 44.2% was obtained. Overall, 1 m3 of BYW yielded 5.13 kg of protein-rich biomass and 1.42 m3 of methane. Additionally, pigment production using N. intermedia was investigated, and 1.54 mg carotenoids/g biomass was produced.