Although Deep Learning (DL) has achieved success in complex Artificial Intelligence (AI) tasks, it suffers from various notorious problems (e.g., feature redundancy, and vanishing or exploding gradients), since updating parameters in Euclidean space cannot fully exploit the geometric structure of the solution space. As a promising alternative solution, Riemannian-based DL uses geometric optimization to update parameters on Riemannian manifolds and can leverage the underlying geometric information. Accordingly, this article presents a comprehensive survey of applying geometric optimization in DL. At first, this article introduces the basic procedure of the geometric optimization, including various geometric optimizers and some concepts of Riemannian manifold. Subsequently, this article investigates the application of geometric optimization in different DL networks in various AI tasks, e.g., convolution neural network, recurrent neural network, transfer learning, and optimal transport. Additionally, typical public toolboxes that implement optimization on manifold are also discussed. Finally, this article makes a performance comparison between different deep geometric optimization methods under image recognition scenarios.