The paper reviews the milestones and various modern-day approaches in developing phonocardiogram (PCG) signal analysis. It also explains the different phases and methods of the Heart Sound signal analysis. Many physicians depend heavily on ECG experts, inviting healthcare costs and ignorance of stethoscope skills. Hence, auscultation is not a simple solution for the detection of valvular heart disease; therefore, doctors prefer clinical evaluation using Doppler Echo-cardiogram and another pathological test. However, the benefits of auscultation and other clinical evaluation can be associated with computer-aided diagnosis methods that can help considerably in measuring and analyzing various Heart Sounds. This review covers the most recent research for segmenting valvular Heart Sound during preprocessing stages, like adaptive fuzzy system, Shannon energy, time-frequency representation, and discrete wavelet distribution for analyzing and diagnosing various heart-related diseases. Different Convolutional Neural Network (CNN) based deep-learning models are discussed for valvular Heart Sound analysis, like LeNet-5, AlexNet, VGG16, VGG19, DenseNet121, Inception Net, Residual Net, Google Net, Mobile Net, Squeeze Net, and Xception Net. Among all deep-learning methods, the Xception Net claimed the highest accuracy of 99.43 + 0.03% and sensitivity of 98.58 + 0.06%. The review also provides the recent advances in the feature extraction and classification techniques of Cardiac Sound, which helps researchers and readers to a great extent.