This paper thoroughly examines the advancements and challenges in the field of additively manufactured Functionally Graded Materials (FGMs). It delves into conceptual approaches for FGM design, various manufacturing techniques, and the materials employed in their fabrication using additive manufacturing (AM) technologies. This paper explores the applications of FGMs in diverse fields, including structural engineering, automotive, biomedical engineering, soft robotics, electronics, 4D printing, and metamaterials. Critical issues and challenges associated with FGMs are meticulously analyzed, addressing concerns related to production and performance. Moreover, this paper forecasts future trends in FGM development, highlighting potential impacts on diverse industries. The concluding section summarizes key findings, emphasizing the significance of FGMs in the context of AM technologies. This review provides valuable insights to researchers, practitioners, and stakeholders, enhancing their understanding of FGMs and their role in the evolving landscape of AM.