The continuously increasing number of mobile devices actively being used in the world amounted to approximately 6.8 billion by 2022. Consequently, this implies a substantial increase in the amount of personal data collected, transported, processed, and stored. The authors of this paper designed and implemented an integrated personal health data management system, which considers data-driven software and hardware sensors, comprehensive data privacy techniques, and machine-learning-based algorithmic models. It was determined that there are very few relevant and complete surveys concerning this specific problem. Therefore, the current scientific research was considered, and this paper comprehensively analyzes the importance of deep learning techniques that are applied to the overall management of data collected by data-driven soft sensors. This survey considers aspects that are related to demographics, health and body parameters, and human activity and behaviour pattern detection. Additionally, the relatively complex problem of designing and implementing data privacy mechanisms, while ensuring efficient data access, is also discussed, and the relevant metrics are presented. The paper concludes by presenting the most important open research questions and challenges. The paper provides a comprehensive and thorough scientific literature survey, which is useful for any researcher or practitioner in the scope of data-driven soft sensors and privacy techniques, in relation to the relevant machine-learning-based models.