Graph machine learning has led to a significant increase in the capabilities of models that learn on arbitrary graph-structured data and has been applied to molecules, social networks, recommendation systems, and transportation, among other domains. Data in multi-tabular relational databases can also be constructed as 'relational entity graphs' for Relational Deep Learning (RDL) - a new blueprint that enables end-to-end representation learning without traditional feature engineering. Compared to arbitrary graph-structured data, relational entity graphs have key properties: (i) their structure is defined by primary-foreign key relationships between entities in different tables, (ii) the structural connectivity is a function of the relational schema defining a database, and (iii) the graph connectivity is temporal and heterogeneous in nature. In this paper, we provide a comprehensive review of RDL by first introducing the representation of relational databases as relational entity graphs, and then reviewing public benchmark datasets that have been used to develop and evaluate recent GNN-based RDL models. We discuss key challenges including large-scale multi-table integration and the complexities of modeling temporal dynamics and heterogeneous data, while also surveying foundational neural network methods and recent architectural advances specialized for relational entity graphs. Finally, we explore opportunities to unify these distinct modeling challenges, highlighting how RDL converges multiple sub-fields in graph machine learning towards the design of foundation models that can transform the processing of relational data.