Stress is an escalated psycho-physiological state of the human body emerging in response to a challenging event or a demanding condition. Environmental factors that trigger stress are called stressors. In case of prolonged exposure to multiple stressors impacting simultaneously, a person's mental and physical health can be adversely affected which can further lead to chronic health issues. To prevent stress-related issues, it is necessary to detect them in the nascent stages which are possible only by continuous monitoring of stress. Wearable devices promise real-time and continuous data collection, which helps in personal stress monitoring. In this paper, a comprehensive review has been presented, which focuses on stress detection using wearable sensors and applied machine learning techniques. This paper investigates the stress detection approaches adopted in accordance with the sensory devices such as wearable sensors, Electrocardiogram (ECG), Electroencephalography (EEG), and Photoplethysmography (PPG), and also depending on various environments like during driving, studying, and working. The stressors, techniques, results, advantages, limitations, and issues for each study are highlighted and expected to provide a path for future research studies. Also, a multimodal stress detection system using a wearable sensor-based deep learning technique has been proposed at the end.