This systematic review analyses advancements in cognitive state recognition from 2010 to early 2024, evaluating 405 relevant articles from an initial pool of 2398 records identified through five databases: Scopus, Engineering Village, Web of Science, IEEE Xplore, and PubMed. Studies were included if they assessed cognitive states using physiological signals and applied machine learning (ML) or deep learning (DL) techniques in practical task settings. The review highlights a pivotal shift from shallow ML to DL approaches for analysing physiological signals, driven by DL’s ability to autonomously learn complex patterns in large datasets. By 2023, DL has become the dominant methodology, though traditional ML techniques remain relevant. Additionally, there has been a move from neuroimaging to multimodal physiological modalities, with the decrease in neuroimaging use reflecting a trend towards integrating various physiological signals for more comprehensive insights. Cognitive state recognition is applied across diverse domains such as the automotive, aviation, maritime, and healthcare industries, enhancing performance and safety in high-stakes environments. Electrocardiogram (ECG) is the most utilised modality, with convolutional neural networks (CNNs) being the primary DL approach. The trend in cognitive state recognition research is moving towards integrating ECG signals with CNNs and adopting privacy-preserving methodologies like differential privacy and federated learning, highlighting the potential of cognitive state recognition to enhance performance, safety, and innovation across various real-world applications.