The demand for collaborative robots is growing in industrial environments due to their versatility and low prices. Thus, more collaborative solutions are emerging for industrial scenarios. However, implementing scenarios where robots work autonomously while synchronizing their operations in a safe industrial environment with shop-floor workers is not easy. To fill the gap existing in the safe implementation of industrial collaborative scenarios, this manuscript presents a review based on five identified challenges that gathers the primary vital aspects to bear in mind while developing applications for them. Thus, a four-level classification is proposed, which collects the identified challenges and the previous developments in the field of human-robot interaction. The five identified challenges pretends to be the missing enabling key for implementing industrial collaborative scenarios in modern industrial plants. Lastly, a discussion and conclusion are exposed to analyze the degree of development in the field and its potential growth.