In this article, we provide a review of the consensus control problem for stochastic multi-agent systems (MASs). Recent advances are surveyed according to the method of occurrence of the stochasticity of the MASs. First, the consensus problem is discussed for MASs, wherein individual agents are corrupted by random noises, i.e., the dynamics of agents involve stochasticity in process and/or measurement equations. Both additive noises and multiplicative noises are surveyed in detail and special attention is paid to the MASs whose dynamics are governed by Itô differential equations. Moreover, particular effort is devoted to presenting the latest progress on the consensus problem for a special type of stochastic MAS with Markovian jump parameters. Subsequently, the relevant research is summarized for MASs with noisy communication environments and stochastic sampling. Further, we provide a systematic review of the consensus problems for MASs whose communication topology varies randomly in the process of data propagation among agents. Finally, conclusions are drawn and several potential future research directions are outlined.