Optical pulse detection 'photoplethysmography' (PPG) provides a means of low cost and unobtrusive physiological monitoring that is popular in many wearable devices. However, the accuracy, robustness and generalizability of single-wavelength PPG sensing are sensitive to biological characteristics as well as sensor configuration and placement; this is significant given the increasing adoption of single-wavelength wrist-worn PPG devices in clinical studies and healthcare. Since different wavelengths interact with the skin to varying degrees, researchers have explored the use of multi-wavelength PPG to improve sensing accuracy, robustness and generalizability. This paper contributes a novel and comprehensive state-of-the-art review of wearable multi-wavelength PPG sensing, encompassing motion artifact reduction and estimation of physiological parameters. The paper also encompasses theoretical details about multi-wavelength PPG sensing and the effects of biological characteristics. The review findings highlight the promising developments in motion artifact reduction using multi-wavelength approaches, the effects of skin temperature on PPG sensing, the need for improved diversity in PPG sensing studies and the lack of studies that investigate the combined effects of factors. Recommendations are made for the standardization and completeness of reporting in terms of study design, sensing technology and participant characteristics.