The definition of animal welfare includes how an animal dies. As such, euthanasia is intrinsically linked to animal welfare and ensuring a good death through effective, safe, and validated practices is a critical piece of promoting positive animal welfare. The objective of this review is to provide a better understanding of the literature on the euthanasia of swine via penetrating captive bolt (PCB) and nonpenetrating captive bolt (NPCB), as well as a history of captive bolt use, and indicators of sensibility and insensibility. To do this, we performed a systematic review that included 30 peer-reviewed articles and 17 other publications. Nonpenetrating captive bolt devices have been validated as an effective single-step euthanasia method for neonatal and pre-weaning swine, as well as a two-step euthanasia method for nursery swine. Penetrating captive bolt devices have been validated as an effective euthanasia method for nursery and market swine up to 120 kg, but further investigation is required for the use of captive bolt devices on mature breeding sows and boars.