Free-hand sketches are highly hieroglyphic and illustrative, which have been widely used by humans to depict objects or stories from ancient times to the present. The recent prevalence of touchscreen devices has made sketch creation a much easier task than ever and consequently made sketch-oriented applications increasingly more popular. The prosperity of deep learning has also immensely promoted the research for the free-hand sketch. This paper presents a comprehensive survey of the free-hand sketch oriented deep learning techniques. The main contents of this survey include: (i) The intrinsic traits and domain-unique challenges of the free-hand sketch are discussed, to clarify the essential differences between free-hand sketch and other data modalities, e.g., natural photo. (ii) The development of the free-hand sketch community in the deep learning era is reviewed, by surveying the existing datasets, research topics, and the state-of-the-art methods via a detailed taxonomy. (iii) Moreover, the bottlenecks, open problems, and potential research directions of this community have also been discussed to promote the future works.