During recent years, emerging multimedia processing techniques with information security services have received a lot of attention. Among those trends are steganography and steganalysis. Steganography techniques aim to hide the existence of secret messages in an innocent-looking medium, where the medium before and after embedding looks symmetric. Steganalysis techniques aim to breach steganography techniques and detect the presence of invisible messages. In the modern world, digital multimedia such as audio, images, and video became popular and widespread, which makes them perfect candidates for steganography. Monitoring this huge multimedia while the user communicates with the outside world is very important for detecting whether there is a hidden message in any suspicious communication. However, steganalysis has a significant role in many fields, such as to extract the stego-message, to detect suspicious hidden messages and to evaluate the robustness of existing steganography techniques. This survey provides the general principles of hiding secret messages using digital multimedia as well as reviewing the background of steganalysis. In this survey, the steganalysis is classified based on many points of view for better understanding. In addition, it provides a deep review and summarizes recent steganalysis approaches and techniques for audio, images, and video. Finally, the existing shortcomings and future recommendations in this field are discussed to present a useful resource for future research.