Artificial intelligence (AI) and deep learning (DL) have shown tremendous potential in driving sustainability across various sectors. This paper reviews recent advancements in AI and DL and explores their applications in achieving sustainable development goals (SDGs), renewable energy, environmental health, and smart building energy management. AI has the potential to contribute to 134 of the 169 targets across all SDGs, but the rapid development of these technologies necessitates comprehensive regulatory oversight to ensure transparency, safety, and ethical standards. In the renewable energy sector, AI and DL have been effectively utilized in optimizing energy management, fault detection, and power grid stability. They have also demonstrated promise in enhancing waste management and predictive analysis in photovoltaic power plants. In the field of environmental health, the integration of AI and DL has facilitated the analysis of complex spatial data, improving exposure modeling and disease prediction. However, challenges such as the explainability and transparency of AI and DL models, the scalability and high dimensionality of data, the integration with next-generation wireless networks, and ethics and privacy concerns need to be addressed. Future research should focus on enhancing the explainability and transparency of AI and DL models, developing scalable algorithms for processing large datasets, exploring the integration of AI with next-generation wireless networks, and addressing ethical and privacy considerations. Additionally, improving the energy efficiency of AI and DL models is crucial to ensure the sustainable use of these technologies. By addressing these challenges and fostering responsible and innovative use, AI and DL can significantly contribute to a more sustainable future.