Air pollution is a risk factor for many diseases that can lead to death. Therefore, it is important to develop forecasting mechanisms that can be used by the authorities, so that they can anticipate measures when high concentrations of certain pollutants are expected in the near future. Machine Learning models, in particular, Deep Learning models, have been widely used to forecast air quality. In this paper we present a comprehensive review of the main contributions in the field during the period 2011–2021. We have searched the main scientific publications databases and, after a careful selection, we have considered a total of 155 papers. The papers are classified in terms of geographical distribution, predicted values, predictor variables, evaluation metrics and Machine Learning model.