In recent years, there has been a remarkable surge in the development and research of tethered aerial systems, thus reflecting a growing interest in their diverse applications. Long-term missions involving aerial vehicles present significant challenges due to the limitations of current battery solutions. Tethered vehicles can circumvent such restrictions by receiving their power from an element on the ground such as a ground station or a mobile terrestrial platform. Tethered Unmanned Aerial Vehicles (UAVs) can also be applied to load transportation achieved by a single or multiple UAVs. This paper presents a comprehensive systematic literature review, with a special focus on solutions published in the last five years (2017–2022). It emphasizes the key characteristics that are capable of grouping publications by application scope, propulsion method, energy transfer solution, perception sensors, and control techniques adopted. The search was performed in six different databases, thereby resulting in 1172 unique publications, from which 182 were considered for inclusion in the data extraction phase of this review. Among the various aircraft types, multirotors emerged as the most widely used category. We also identified significant variations in the application scope of tethered UAVs, thus leading to tailored approaches for each use case, such as the fixed-wing model being predominant in the wind generation application and the lighter-than-air aircraft in the meteorology field. Notably, the classical Proportional–Integral–Derivative (PID) control scheme emerged as the predominant control methodology across the surveyed publications. Regarding energy transfer techniques, most publications did not explicitly describe their approach. However, among those that did, high-voltage DC energy transfer emerged as the preferred solution. In summary, this systematic literature review provides valuable insights into the current state of tethered aerial systems, thereby showcasing their potential as a robust and sustainable alternative to address the challenges associated with long-duration aerial missions and load transportation.