Study Objectives: Fetal sleep is a vital yet underexplored aspect of prenatal neurodevelopment. Its cyclic organization reflects the maturation of central neural circuits, and disturbances in these patterns may offer some of the earliest detectable signs of neurological compromise. This is the first review to integrate more than seven decades of research into a unified, cross-species synthesis of fetal sleep. We examine: (i) Physiology and Ontogeny-comparing human fetuses with animal models; and (ii) Methodological Evolution-transitioning from invasive neurophysiology to non-invasive monitoring and deep learning frameworks. Methods: A structured narrative synthesis was guided by a systematic literature search across four databases (PubMed, Scopus, IEEE Xplore, and Google Scholar). From 2,925 identified records, 171 studies involving fetal sleep-related physiology, sleep-state classification, or signal-based monitoring were included in this review. Results: Across the 171 studies, fetal sleep states become clearly observable as the brain matures. In fetal sheep and baboons, organized cycling between active and quiet sleep emerges at approximately 80%-90% gestation. In humans, this differentiation occurs later, around 95% gestation, with full maturation reached near term. Despite extensive animal research, no unified, clinically validated framework exists for defining fetal sleep states, limiting translation into routine obstetric practice. Conclusions: By integrating evidence across species, methodologies, and clinical contexts, this review provides the scientific foundation for developing objective, multimodal, and non-invasive fetal sleep monitoring technologies-tools that may ultimately support earlier detection of neurological compromise and guide timely prenatal intervention.