Nowadays, gathering high-quality training data from multiple data controllers with privacy preservation is a key challenge to train high-quality machine learning models. The potential solutions could dramatically break the barriers among isolated data corpus, and consequently enlarge the range of data available for processing. To this end, both academia researchers and industrial vendors are recently strongly motivated to propose two main-stream folders of solutions: 1) Secure Multi-party Learning (MPL for short); and 2) Federated Learning (FL for short). These two solutions have their advantages and limitations when we evaluate them from privacy preservation, ways of communication, communication overhead, format of data, the accuracy of trained models, and application scenarios. Motivated to demonstrate the research progress and discuss the insights on the future directions, we thoroughly investigate these protocols and frameworks of both MPL and FL. At first, we define the problem of training machine learning models over multiple data sources with privacy-preserving (TMMPP for short). Then, we compare the recent studies of TMMPP from the aspects of the technical routes, parties supported, data partitioning, threat model, and supported machine learning models, to show the advantages and limitations. Next, we introduce the state-of-the-art platforms which support online training over multiple data sources. Finally, we discuss the potential directions to resolve the problem of TMMPP.