Drug discovery is a cost and time-intensive process that is often assisted by computational methods, such as virtual screening, to speed up and guide the design of new compounds. For many years, machine learning methods have been successfully applied in the context of computer-aided drug discovery. Recently, thanks to the rise of novel technologies as well as the increasing amount of available chemical and bioactivity data, deep learning has gained a tremendous impact in rational active compound discovery. Herein, recent applications and developments of machine learning, with a focus on deep learning, in virtual screening for active compound design are reviewed. This includes introducing different compound and protein encodings, deep learning techniques as well as frequently used bioactivity and benchmark data sets for model training and testing. Finally, the present state-of-the-art, including the current challenges and emerging problems, are examined and discussed.