Brain-body co-evolution enables animals to develop complex behaviors in their environments. Inspired by this biological synergy, embodied co-design (ECD) has emerged as a transformative paradigm for creating intelligent agents-from virtual creatures to physical robots-by jointly optimizing their morphologies and controllers rather than treating control in isolation. This integrated approach facilitates richer environmental interactions and robust task performance. In this survey, we provide a systematic overview of recent advances in ECD. We first formalize the concept of ECD and position it within related fields. We then introduce a hierarchical taxonomy: a lower layer that breaks down agent design into three fundamental components-controlling brain, body morphology, and task environment-and an upper layer that integrates these components into four major ECD frameworks: bi-level, single-level, generative, and open-ended. This taxonomy allows us to synthesize insights from more than one hundred recent studies. We further review notable benchmarks, datasets, and applications in both simulated and real-world scenarios. Finally, we identify significant challenges and offer insights into promising future research directions. A project associated with this survey has been created at https://github.com/Yuxing-Wang-THU/SurveyBrainBody.