Difficult-to-cut alloys, which include titanium, cobalt, nickel alloys, and high-strength and heat-resistant steels, can nowadays be manufactured using selective melting (SLM), and products made of such materials are widely used in aerospace, automotive, and medical applications. SLM is widely used among other methods of additive manufacturing (AM) for the production of parts with complex geometry which are difficult to produce using conventional manufacturing processes. In this review article, for the first time, a comprehensive literature review of the most important parameters which influence the SLM manufacturing process of difficult-to-cut alloys is discussed and analysed. Parameters such as composition, grain size, defects, texture, and thermo-mechanical properties and their effect on surface integrity, namely surface topography (machined surface defects, surface roughness, surface texture), microstructural alterations (plastic deformation, grain refinement, and orientation, white layer formation), and mechanical properties (work hardening layer formation and microhardness, residual stress) are discussed. As a result, this review article shows the advantages and disadvantages of using various compositions, classifications, microstructure, defects, and properties of SLM of difficult-to-cut alloys on surface integrity and outlines development prospects, challenges, and future trends.