The internet of things (IoT) represents a disruptive concept that has been changing society in several ways. There have been several successful applications of IoT in the industry. For example, in transportation systems, the novel internet of vehicles (IoV) concept has enabled new research directions and automation solutions. Moreover, reinforcement learning (RL), federated learning (FL), and federated reinforcement learning (FRL) have demonstrated remarkable success in solving complex problems in different applications. In recent years, new solutions have been developed based on this combined framework (i.e., federated reinforcement learning). Conversely, there is a lack of analysis concerning IoT applications and a standard view of challenges and future directions of the current FRL landscape. Thereupon, the main goal of this research is to present a literature review of federated reinforcement learning (FRL) applications in IoT from multiple perspectives. We focus on analyzing applications in multiple areas (e.g., security, sustainability and efficiency, vehicular solutions, and industrial services) to highlight existing solutions, their characteristics, and research gaps. Additionally, we identify key short- and long-term challenges leading to new opportunities in the field. This research intends to picture the current FRL ecosystem in IoT to foster the development of new solutions based on existing challenges.