Autonomous or teleoperated robots have been playing increasingly important roles in civil applications in recent years. Across the different civil domains where robots can support human operators, one of the areas where they can have more impact is in search and rescue (SAR) operations. In particular, multi-robot systems have the potential to significantly improve the efficiency of SAR personnel with faster search of victims, initial assessment and mapping of the environment, real-time monitoring and surveillance of SAR operations, or establishing emergency communication networks, among other possibilities. SAR operations encompass a wide variety of environments and situations, and therefore heterogeneous and collaborative multi-robot systems can provide the most advantages. In this paper, we review and analyze the existing approaches to multi-robot SAR support, from an algorithmic perspective and putting an emphasis on the methods enabling collaboration among the robots as well as advanced perception through machine vision and multi-agent active perception. Furthermore, we put these algorithms in the context of the different challenges and constraints that various types of robots (ground, aerial, surface or underwater) encounter in different SAR environments (maritime, urban, wilderness or other post-disaster scenarios). This is, to the best of our knowledge, the first review considering heterogeneous SAR robots across different environments, while giving two complimentary points of view: control mechanisms and machine perception. Based on our review of the state-of-the-art, we discuss the main open research questions, and outline our insights on the current approaches that have potential to improve the real-world performance of multi-robot SAR systems.