Electrical grids generate, transport, distribute and deliver electrical power to consumers through a complex Critical Infrastructure which progressively shifted from an air-gaped to a connected architecture. Specifically, Smart Substations are important parts of Smart Grids, providing switching, transforming, monitoring, metering and protection functions to offer a safe, efficient and reliable distribution of electrical power to consumers. The evolution of electrical power grids was closely followed by the digitization of all its parts and improvements in communication and computing infrastructures, leading to an evolution towards digital smart substations with improved connectivity. However, connected smart substations are exposed to cyber threats which can result in blackouts and faults which may propagate in a chain reaction and damage electrical appliances connected across the electrical grid. This work organizes and offers a comprehensive review of architectural, communications and cybersecurity standards for smart substations, complemented by a threat landscape analysis and the presentation of a Defense-in-Depth strategy blueprint. Furthermore, this work examines several defense mechanisms documented in the literature, existing datasets, testbeds and evaluation methodologies, identifying the most relevant open issues which may guide and inspire future research work.