Accurately and efficiently predicting the fuel consumption of vehicles is the key to improving their fuel economy. This paper provides a comprehensive review of data-driven fuel consumption prediction models. Firstly, by classifying and summarizing relevant data that affect fuel consumption, it was pointed out that commonly used data currently involve three aspects: vehicle performance, driving behavior, and driving environment. Then, from the model structure, the predictive energy and the characteristics of the traditional machine learning model (support vector machine, random forest), the neural network model (artificial neural network and deep neural network), and this paper point out that: (1) the prediction model of fuel consumption based on neural networks has a higher data processing ability, higher training speed, and stable prediction ability; (2) by combining the advantages of different models to build a hybrid model for fuel consumption prediction, the prediction accuracy of fuel consumption can be greatly improved; (3) when comparing the relevant indicts, both the neural network method and the hybrid model consistently exhibit a coefficient of determination above 0.90 and a root mean square error below 0.40. Finally, the summary and prospect analysis are given based on various models’ predictive performance and application status.