Artificial intelligence is changing the world, especially the interaction between machines and humans. Learning and interpreting natural languages and responding have paved the way for many technologies and applications. The amalgam of machine learning, deep learning, and natural language processing helped Conversational Artificial Intelligence (AI) to change the face of Human-Computer Interaction (HCI). A conversational agent is an excellent example of conversational AI, which imitates the natural language. This article presents a sweeping overview of conversational agents that includes different techniques such as pattern-based, machine learning, and deep learning used to implement conversational agents. It also discusses the panorama of different tasks in conversational agents. This study also focuses on how conversational agents can simulate human behavior by adding emotions, sentiments, and affect to the context. With the advancements in recent trends and the rise in deep learning models, the authors review the deep learning techniques and various publicly available datasets used in conversational agents. This article unearths the research gaps in conversational agents and gives insights into future directions.