Rotating machine faults are unavoidable; thus, early diagnosis is essential to avoid further damage to the machine or other machine attached to it. Various signal analysis based conventional techniques have been developed and used in the industries to identify various defects in the rotating machines. In last two decades, researchers have shifted their focus to automated or intelligent fault diagnosis based on Artificial Intelligence (AI) techniques due to a variety of issues in conventional fault analysis techniques, such as a dependence on machine operating circumstances, human interference, and expert abilities. In AI based techniques, various machine learning (ML) and deep learning (DL) techniques have been successfully applied for fault diagnosis of various rotating machines. From last half decade DL have been gaining popularity due to its attractive characteristic of automated feature learning and solving big data, unbalanced data, big computational burden and over-fitting problems of conventional ML techniques. Advances in DL methodologies have prompted interest in DL based intelligent fault diagnosis in the industry in the last five to 6 years. This review paper summarizes recent research and developments on DL based fault diagnosis in the last five to 6 years for various critical rotating machineries in industry such as electric motors, rotor-bearing systems, gear and gearbox, wind turbines, pumps, and compressors.