Although deep learning models like CNNs have achieved a great success in medical image analysis, small-sized medical datasets remain to be the major bottleneck in this area. To address this problem, researchers start looking for external information beyond the current available medical datasets. Traditional approaches generally leverage the information from natural images. More recent works utilize the domain knowledge from medical doctors, by letting networks either resemble how they are trained, mimic their diagnostic patterns, or focus on the features or areas they particular pay attention to. In this survey, we summarize the current progress on introducing medical domain knowledge in deep learning models for various tasks like disease diagnosis, lesion, organ and abnormality detection, lesion and organ segmentation. For each type of task, we systematically categorize different kinds of medical domain knowledge that have been utilized and the corresponding integrating methods. We end with a summary of challenges, open problems, and directions for future research.