Advancements in digital automation for smart grids have led to the installation of measurement devices like phasor measurement units (PMUs), micro-PMUs (µ-PMUs), and smart meters. However, large amount of data collected by these devices bring several challenges as control room operators need to use this data with models to make confident decisions for reliable and resilient operation of the cyber-power systems. Machine-learning (ML) based tools can provide a reliable interpretation of the deluge of data obtained from the field. For the decision-makers to ensure reliable network operation under all operating conditions, these tools need to identify solutions that are feasible and satisfy the system constraints, while being efficient, trustworthy and interpretable. This resulted in the increasing popularity of physics-informed machine learning (PIML) approaches, as these methods overcome challenges that model-based or datadriven ML methods face in silos. This work aims at the following: a) review existing strategies and techniques for incorporating underlying physical principles of the power grid into different types of ML approaches (supervised/semi-supervised learning, unsupervised learning, and reinforcement learning (RL)); b) explore the existing works on PIML methods for anomaly detection, classification, localization, and mitigation in power transmission and distribution systems, c) discuss improvements in existing methods through consideration of potential challenges while also addressing the limitations to make them suitable for real-world applications.