Given the rise of automated vehicles from an engineering and technical perspective, there has been increased research interest concerning the Human and Computer Interactions (HCI) between vulnerable road users (VRUs, such as cyclists and pedestrians) and automated vehicles. As with all HCI challenges, clear communication and a common understanding—in this application of shared road usage—is critical in order to reduce conflicts and crashes between the VRUs and automated vehicles. In an effort to solve this communication challenge, various external human–machine interface (eHMI) solutions have been developed and tested across the world. This paper presents a timely critical review of the literature on the communication between automated vehicles and VRUs in shared spaces. Recent developments will be explored and studies analyzing their effectiveness will be presented, including the innovative use of Virtual Reality (VR) for user assessments. This paper provides insight into several gaps in the eHMI literature and directions for future research, including the need to further research eHMI effects on cyclists, investigate the negative effects of eHMIs, and address the technical challenges of eHMI implementation. Furthermore, it has been underlined that there is a lack of research into the use of eHMIs in shared spaces, where the communication and interaction needs differ from conventional roads.