The use of fractional derivatives and integrals has been steadily increasing thanks to their ability to capture effects and describe several natural phenomena in a better and systematic manner. Considering that the study of fractional calculus theory opens the mind to new branches of thought, in this paper, we illustrate that such concepts can be successfully implemented in electromagnetic theory, leading to the generalizations of the Maxwell’s equations. We give a brief review of the fractional vector calculus including the generalization of fractional gradient, divergence, curl, and Laplacian operators, as well as the Green, Stokes, Gauss, and Helmholtz theorems. Then, we review the physical and mathematical aspects of dielectric relaxation processes exhibiting non-exponential decay in time, focusing the attention on the time-harmonic relative permittivity function based on a general fractional polynomial series approximation. The different topics pertaining to the incorporation of the power-law dielectric response in the FDTD algorithm are explained, too. In particular, we discuss in detail a home-made fractional calculus-based FDTD scheme, also considering key issues concerning the bounding of the computational domain and the numerical stability. Finally, some examples involving different dispersive dielectrics are presented with the aim to demonstrate the usefulness and reliability of the developed FDTD scheme.