The ever decreasing cost of sequencing and the multiplication of potential applications for the study of metagenomes have led to an unprecedented increase in the volume of data generated. One of the most prevalent applications of metagenomics is the study of microbial environments, such as the human gut. The gut microbiome has been shown to play an important role in human health, providing critical information for patient diagnosis and prognosis. However, the analysis of metagenomic data remains challenging for many reasons, including reference catalogs, sparsity and compositionality of the data, to name a few. Deep learning (DL) enables novel and promising approaches that complement state-of-the-art microbiome pipelines. In fact, DL-based methods can address almost all aspects of microbiome analysis, including novel pathogen detection, sequence classification, patient stratification, and disease prediction. Beyond the generation of predictive models, a key aspect of such methods remains their interpretability. In this article, we provide a systematic review of deep learning approaches in metagenomics, whether based on convolutional networks, autoencoders, or attention-based models. These methods aggregate contextualized data and pave the way for improved patient care and a better understanding of the key role the microbiome plays in our health.