Combinatorial optimization problems (COPs) are a class of NP-hard problems with great practical significance. Traditional approaches for COPs suffer from high computational time and reliance on expert knowledge, and machine learning (ML) methods, as powerful tools have been used to overcome these problems. In this review, the COPs in energy areas with a series of modern ML approaches, i.e., the interdisciplinary areas of COPs, ML and energy areas, are mainly investigated. Recent works on solving COPs using ML are sorted out firstly by methods which include supervised learning (SL), deep learning (DL), reinforcement learning (RL) and recently proposed game theoretic methods, and then problems where the timeline of the improvements for some fundamental COPs is the layout. Practical applications of ML methods in the energy areas, including the petroleum supply chain, steel-making, electric power system and wind power, are summarized for the first time, and challenges in this field are analyzed.