The increasing focus on cyber-physical security in Smart Grids (SGs) has catalyzed a surge in research over recent years. This paper comprehensively reviews SG cyber-physical security advancements, diverging from conventional studies that concentrate on specific attack types. It begins with a structured overview of SGs, delineating their cyber and physical layers and analyzing the key processes: generation, transmission, distribution, and consumption. Subsequent sections critique existing survey studies, identifying gaps and underscoring overlooked aspects in the current literature, particularly concerning the challenges faced. The review progresses to analyze current research trends in SG security, evaluating methodologies across both layers and categorizing them into Machine Learning-based, data-driven, and model-based approaches. The analysis includes a detailed classification of research focused on Control, Monitoring, and Protection across each component and stage of SGs. Additionally, the paper examines emerging cyberattack strategies in SGs that have not been extensively reviewed in existing literature. In conclusion, the paper reflects on significant gaps and challenges in SG cyber-physical security research, underscoring the need for further exploration and innovation in this domain. Thus, this review serves as a critical roadmap for future research, delineating the current state and potential directions in the rapidly evolving field of SG security.