Deep learning has attained remarkable achievements in diagnosing faults for rotary machineries. Capitalizing on the formidable learning capacity of deep learning, it has the potential to automate human labor and augment the efficiency of fault diagnosis in rotary machinery. These advantages have engendered escalating interest over the past decade. Although recent reviews of the literature have encapsulated the utilization of deep learning in diagnosing faults in rotating machinery, they no longer encompass the introduction of novel methodologies and emerging directions as deep learning methodologies continually evolve. Moreover, in practical application, novel issues and trajectories perpetually manifest, demanding a comprehensive exegesis. To rectify this lacuna, this article amalgamates current research trends and avant-garde methodologies while systematizing the utilization of anterior deep learning techniques. The evolution and extant status of deep learning in diagnosing faults for rotary machinery were delineated, with the intent of providing orientation for prospective research. Over the bygone decade, archetypal deep learning theory has empowered the diagnosis of faults in rotating machinery by directly establishing the nexus between mechanical data and fault conditions. In recent years, meta learning methods aimed at solving small sample scenarios and large model transformers aimed at mining big data features have both received widespread attention and development in the field of fault diagnosis of rotating machinery equipment. Although excellent results have been achieved in these two directions, there is no review and summary article yet, so it is necessary to update the review literature in the field of fault diagnosis of rotating machinery equipment. Lastly, predicated on a survey of the literature and the current developmental landscape, the challenges and prospective orientations of deep learning in rotary machinery fault diagnosis are presented.