Cyber-Physical Systems (CPSs) as in power, water, gas systems and smart grids produce heterogeneous and huge amount of data from various devices and networks, therefore it is essential to develop efficient privacy-preserving techniques for safeguarding system data (telemetry and transactions) from cyber attacks. In order to protect CPSs from prospect cyber-threats, it is essential to discover system components vulnerabilities to prohibit Advanced Persistent Threats (APTs) and keep their generated data secure using privacy-preserving techniques. This paper introduces a comprehensive review of the current privacy-preserving techniques for protecting CPS systems and their data from cyber attacks. Concepts of Privacy preservation and CPSs are discussed, demonstrating CPSs' components and the way these systems could be exploited by either cyber and physical hacking scenarios. Then, classification of privacy preservation according to the way they would be protected, including perturbation, authentication, machine learning (ML), cryptography and blockchain, are explained to illustrate how they would be employed for data privacy preservation. Finally, we show existing challenges, solutions and future research directions of privacy preservation in CPSs.