Currently, myofascial pain has become one of the main problems in healthcare systems. Research into its causes and the structures related to it may help to improve its management. Until some years ago, all the studies were focused on muscle alterations, as trigger points, but recently, fasciae are starting to be considered a new, possible source of pain. This systematic review has been conducted for the purpose of analyze the current evidence of the muscular/deep fasciae innervation from a histological and/or immunohistochemical point of view. A literature search published between 2000 and 2021 was made in PubMed and Google Scholar. Search terms included a combination of fascia, innervation, immunohistochemical, and different immunohistochemical markers. Of the 23 total studies included in the review, five studies were performed in rats, four in mice, two in horses, ten in humans, and two in both humans and rats. There were a great variety of immunohistochemical markers used to detect the innervation of the fasciae; the most used were Protein Gene Marker 9.5 (used in twelve studies), Calcitonin Gene-Related Peptide (ten studies), S100 (ten studies), substance P (seven studies), and tyrosine hydroxylase (six studies). Various areas have been studied, with the thoracolumbar fascia being the most observed. Besides, the papers highlighted diversity in the density and type of innervation in the various fasciae, going from free nerve endings to Pacini and Ruffini corpuscles. Finally, it has been observed that the innervation is increased in the pathological fasciae. From this review, it is evident that fasciae are well innerved, their innervation have a particular distribution and precise localization and is composed especially by proprioceptors and nociceptors, the latter being more numerous in pathological situations. This could contribute to a better comprehension and management of pain.