There is a group of users within the vehicular traffic ecosystem known as Vulnerable Road Users (VRUs). VRUs include pedestrians, cyclists, motorcyclists, among others. On the other hand, connected autonomous vehicles (CAVs) are a set of technologies that combines, on the one hand, communication technologies to stay always ubiquitous connected, and on the other hand, automated technologies to assist or replace the human driver during the driving process. Autonomous vehicles are being visualized as a viable alternative to solve road accidents providing a general safe environment for all the users on the road specifically to the most vulnerable. One of the problems facing autonomous vehicles is to generate mechanisms that facilitate their integration not only within the mobility environment, but also into the road society in a safe and efficient way. In this paper, we analyze and discuss how this integration can take place, reviewing the work that has been developed in recent years in each of the stages of the vehicle-human interaction, analyzing the challenges of vulnerable users and proposing solutions that contribute to solving these challenges.