This review aims to comprehensively assess and synthesize the existing literature on the use of data-driven methods for studying hygrothermal transfer in building exterior walls. The review is conducted by an exhaustive search strategy to identify relevant articles from Web of Science and Scopus databases. There are 20 eligible studies included in this review following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) protocol. The most used data-driven methods are traditional neural networks, such as Multi-Layer Perceptrons and 2D Convolutional Neural Networks. Results suggested that neural network models hold potential for accurately predicting hygrothermal attributes of building exteriors. However, a conspicuous gap in the literature is the absence of studies drawing direct comparisons between data-driven methodologies and conventional simulation techniques. © 2023 ACM.