The tremendous progress of big data acquisition and processing in the field of neural engineering has enabled a better understanding of the patient’s brain disorders with their neural rehabilitation, restoration, detection, and diagnosis. An integration of compressive sensing (CS) and neural engineering emerges as a new research area, aiming to deal with a large volume of neurological data for fast speed, long-term, and energy-saving purposes. Furthermore, electroencephalography (EEG) signals for brain–computer interfaces (BCIs) have shown to be very promising, with diverse neuroscience applications. In this review, we focused on EEG-based approaches which have benefited from CS in achieving fast and energy-saving solutions. In particular, we examine the current practices, scientific opportunities, and challenges of CS in the growing field of BCIs. We emphasized on summarizing major CS reconstruction algorithms, the sparse basis, and the measurement matrix used in CS to process the EEG signal. This literature review suggests that the selection of a suitable reconstruction algorithm, sparse basis, and measurement matrix can help to improve the performance of current CS-based EEG studies. In this paper, we also aim at providing an overview of the reconstruction free CS approach and the related literature in the field. Finally, we discuss the opportunities and challenges that arise from pushing the integration of the CS framework for BCI applications.