The multiple interconnections and the heterogeneity of the devices and technologies into the Smart Grid (SG) generate possible cyber-physical security vulnerabilities that can be exploited by various cyberattackers. The cyberattacks in SG, usually target the availability and the information integrity of the systems. Replay attacks, Denial of Service (DoS), Distributed DoS (DDoS) and botnets are typical examples. Furthermore, the hacking tools have been largely automated, so even a novice can execute destructive cyberattacks. These situations make it necessary to develop efficient firewall systems that can prevent possible cyberattacks. In this paper, we present an overview of the various firewall systems in the SG paradigm and also we provide new research directions in this field.