Data are the core of deep learning (DL), and the quality of data significantly affects the performance of DL models. However, high-quality and well-annotated databases are hard or even impossible to acquire for use in many applications, such as structural risk estimation and medical diagnosis, which is an essential barrier that blocks the applications of DL in real life. Physics-guided deep learning (PGDL) is a novel type of DL that can integrate physics laws to train neural networks. It can be used for any systems that are controlled or governed by physics laws, such as mechanics, finance and medical applications. It has been shown that, with the additional information provided by physics laws, PGDL achieves great accuracy and generalisation when facing data scarcity. In this review, the details of PGDL are elucidated, and a structured overview of PGDL with respect to data scarcity in various applications is presented, including physics, engineering and medical applications. Moreover, the limitations and opportunities for current PGDL in terms of data scarcity are identified, and the future outlook for PGDL is discussed in depth.