Knowledge graph employs the specific graph structure to store knowledge in the form of entities, relations, attributes, etc., which can effectively represent correlations among data and has been applied in many fields, including search engine optimization, intelligent question answering, and recommendation systems. In this paper, we mainly focus on the research and application of the domain-specific knowledge graph in the field of the smart city, which has not been fully paid attention to. By constructing the corresponding knowledge graph, the data of urban traffic, services, and public resources are integrated to provide help for city builders and managers to make important decisions. Currently, the major problem faced by the smart city lies in data mining and proper application. On the one hand, data is usually stored by government management departments, which creates challenges such as high data storing overhead and inefficient data usage. On the other hand, data cannot be coordinated and collaborated between different city management systems, and data silos exist. Therefore, we will review the related literature on the knowledge graph existing in the smart city domain. Specifically, we will analyze and summarize knowledge graph construction research in the field of smart cities from four perspectives, i.e., smart city ontology, urban data processing, urban knowledge graph construction, and their application. Finally, the research limitations and prospects of the urban knowledge graph are provided.