Recommender Systems are tools that improve how users find relevant information in web systems, so they do not face too much information. In order to generate better recommendations, the context of information should be used in the recommendation process. Context-Aware Recommender Systems were created, accomplishing state-of-the-art results and improving traditional recommender systems. There are many approaches to build recommender systems, and two of the most prominent advances in area have been the use of Embeddings to represent the data in the recommender system, and the use of Deep Learning architectures to generate the recommendations to the user. A systematic review adopts a formal and systematic method to perform a bibliographic review, and it is used to identify and evaluate all the research in certain area of study, by analyzing the relevant research published. A systematic review was conducted to understand how the Deep Learning and Embeddings techniques are being applied to improve Context-Aware Recommender Systems. We summarized the architectures that are used to create those and the domains that they are used.