Optimal operations of industrial control systems require rigorous monitoring to ensure safety, increase profitability, and minimize plant maintenance downtime. Thus, controller performance monitoring has been actively pursued by the research community, resulting in increased research publications over the past two decades. The availability of large data sets, the so-called big data era, has led impetus to the data-driven domain of controller performance monitoring. In this paper, a comprehensive review of the data-driven research in the CPM domain is presented. To illustrate the rationale behind the research efforts, a succinct explanation of the faults observed in control loops and their influence on overall controller performance is also presented. The paper then provides the publicly available data repositories adopted by most researchers to assess and compare their performance monitoring techniques realistically. Moreover, a review of the most eminent techniques proposed so far concerning both detection and diagnosis phases is presented.